Sparse tangent portfolio selection via semi-definite relaxation

DOI10.1016/j.orl.2016.05.012zbMath1380.90211OpenAlexW2237174617MaRDI QIDQ1694793

Peng Zhang

Publication date: 6 February 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2016.05.012

zbMATH Keywords

semi-definite relaxationsparse portfolioSharpe ratio maximization

Mathematics Subject Classification ID

Semidefinite programming (90C22) Portfolio theory (91G10)

Related Items (2)

Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach ⋮ Adaptive \(l_1\)-regularization for short-selling control in portfolio selection

Uses Software

• SeDuMi
• SDPT3

Cites Work

• Unnamed Item
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• Heuristics for cardinality constrained portfolio optimization
• Computational study of a family of mixed-integer quadratic programming problems
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• Sparse and stable Markowitz portfolios
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
• Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
• Cardinality Constrained Linear-Quadratic Optimal Control
• OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
• A Direct Formulation for Sparse PCA Using Semidefinite Programming

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