A combinatorial optimization approach to scenario filtering in portfolio selection

DOI10.1016/j.cor.2022.105701OpenAlexW3135174107MaRDI QIDQ2146965

Justo Puerto, Federica Ricca, Andrea Scozzari, Moisés Rodríguez-Madrena

Publication date: 22 June 2022

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.01123

zbMATH Keywords

portfolio selectionmean-variance optimizationfiltering methodsmixed integer quadratic programming

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Cluster analysis for portfolio optimization
• On exact and approximate stochastic dominance strategies for portfolio selection
• Computational study of a family of mixed-integer quadratic programming problems
• Noisy covariance matrices and portfolio optimization. II
• Clustering and portfolio selection problems: a unified framework
• Linear and mixed integer programming for portfolio optimization
• A new method for mean-variance portfolio optimization with cardinality constraints
• Conditional value at risk and related linear programming models for portfolio optimization
• 60 years of portfolio optimization: practical challenges and current trends
• On the Realized Risk of High-Dimensional Markowitz Portfolios
• Computability of global solutions to factorable nonconvex programs: Part I — Convex underestimating problems
• A new method to estimate the noise in financial correlation matrices
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Power mapping with dynamical adjustment for improved portfolio optimization
• Collective dynamics of ‘small-world’ networks