Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA

DOI10.1007/s10287-009-0098-3zbMath1188.90185OpenAlexW1965569285MaRDI QIDQ1035284

Mahdi Moeini, Hoai An Le Thi, Tao Pham Dinh

Publication date: 2 November 2009

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-009-0098-3

zbMATH Keywords

DCAbranch-and-boundportfolio selectionDC programmingdownside risk

Mathematics Subject Classification ID

Mixed integer programming (90C11) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)

Related Items (11)

Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints ⋮ Discrete dynamical system approaches for Boolean polynomial optimization ⋮ Alternating DCA for reduced-rank multitask linear regression with covariance matrix estimation ⋮ Multi-period possibilistic mean semivariance portfolio selection with cardinality constraints and its algorithm ⋮ A branch-and-bound algorithm embedded with DCA for DC programming ⋮ A difference-of-convex programming approach with parallel branch-and-bound for sentence compression via a hybrid extractive model ⋮ Robust investment strategies with discrete asset choice constraints using DC programming ⋮ A new approach for solving mixed integer DC programs using a continuous relaxation with no integrality gap and smoothing techniques ⋮ Time-consistent multiperiod mean semivariance portfolio selection with the real constraints ⋮ DC programming and DCA: thirty years of developments ⋮ Multiperiod mean absolute deviation uncertain portfolio selection with real constraints

Cites Work

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• Exact penalty in d. c. programming
• Heuristics for cardinality constrained portfolio optimization
• The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
• Discrete tomography by convex--concave regularization and D.C. programming
• Collusive game solutions via optimization
• A continuous approch for globally solving linearly constrained quadratic
• A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
• Large-Scale Molecular Optimization from Distance Matrices by a D.C. Optimization Approach
• Convex Analysis
• Safety First and the Holding of Assets

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