Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers
DOI10.1007/S10898-015-0305-4zbMATH Open1339.90309OpenAlexW1971796253MaRDI QIDQ905752FDOQ905752
Kalyanmoy Deb, Markus Hirschberger, Ralph E. Steuer
Publication date: 28 January 2016
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-015-0305-4
portfolio selectionsemi-continuous variablesmultiple criteria optimizationparametric quadratic programmingbuy-in thresholdsnondominated frontiers
Quadratic programming (90C20) Multi-objective and goal programming (90C29) Portfolio theory (91G10) Sensitivity, stability, parametric optimization (90C31)
Cites Work
- Nonlinear multiobjective optimization
- Effective implementation of the \(\varepsilon \)-constraint method in multi-objective mathematical programming problems
- Heuristic algorithms for the cardinality constrained efficient frontier
- An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
- On the computation of the efficient frontier of the portfolio selection problem
- Heuristic algorithms for the portfolio selection problem with minimum transaction lots
- Heuristics for cardinality constrained portfolio optimization
- Genetic algorithms for portfolio selection problems with minimum transaction lots
- Large-scale MV efficient frontier computation via a procedure of parametric quadratic programming
- Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
- Integer programming approaches in mean-risk models
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
- Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
- A global optimization problem in portfolio selection
- Efficient implementation of an active set algorithm for large-scale portfolio selection
Cited In (3)
- Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
- Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset
- Theoretically scrutinizing kinks on efficient frontiers and computationally reporting nonexistence of the tangent portfolio for the capital asset pricing model by parametric-quadratic programming
Uses Software
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