The Optimal Selection of Small Portfolios

DOI10.1287/MNSC.29.7.792MaRDI QIDQ3657720zbMATH OpenOpenAlexFDO

Authors B. Blog, G. van der Hoek, Alexander H. G. Rinnooy Kan, G. Th. Timmer

Publication date 1983

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.29.7.792

zbMATH Keywords

financeheuristic methodimplicit enumeration algorithmMarkowitz efficiencynegative beta-coefficientsoptimal portfoliorisk-return efficient portfolios

Mathematics Subject Classification ID

Operations research and management science (90B99) Integer programming (90C10) Dynamic programming (90C39) Applications of mathematical programming (90C90)

Cited in

(14)

• Epsilon-dominating solutions in mean-variance portfolio analysis
• Optimal portfolio selection for the small investor considering risk and transaction costs
• Portfolio optimization with linear and fixed transaction costs
• Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach
• Large-Scale Loan Portfolio Selection
• Confidence Limits for Global Optima Based on Heuristic Solutions to Difficult Optimization Problems: A Simulation Study
• Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
• On the index tracking and the statistical arbitrage choosing the stocks by means of cointegration: the role of stock picking
• Minimal zero norm solutions of linear complementarity problems
• A penalty PALM method for sparse portfolio selection problems
• Quadratic convex reformulations for semicontinuous quadratic programming
• An inexact proximal DC algorithm for the large-scale cardinality constrained mean-variance model in sparse portfolio selection
• Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
• Algorithm for cardinality-constrained quadratic optimization

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