Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
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Publication:905752
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Cites work
- A global optimization problem in portfolio selection
- An exact solution approach for portfolio optimization problems under stochastic and integer constraints
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- Effective implementation of the \(\varepsilon \)-constraint method in multi-objective mathematical programming problems
- Efficient implementation of an active set algorithm for large-scale portfolio selection
- Genetic algorithms for portfolio selection problems with minimum transaction lots
- Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
- Heuristic algorithms for the cardinality constrained efficient frontier
- Heuristic algorithms for the portfolio selection problem with minimum transaction lots
- Heuristics for cardinality constrained portfolio optimization
- Integer programming approaches in mean-risk models
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- Nonlinear multiobjective optimization
- On the computation of the efficient frontier of the portfolio selection problem
- Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
- Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
Cited in
(3)- Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
- Theoretically scrutinizing kinks on efficient frontiers and computationally reporting nonexistence of the tangent portfolio for the capital asset pricing model by parametric-quadratic programming
- Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset
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