Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm

DOI10.1007/s10957-012-0197-0zbMath1300.91046OpenAlexW2012383525MaRDI QIDQ2247924

Mahdi Moeini, Hoai An Le Thi

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-012-0197-0

zbMATH Keywords

DCAmixed integer programmingcardinality constraintsportfolio selectioncomplementarity constraintsDC programmingthreshold constraints

Mathematics Subject Classification ID

Mixed integer programming (90C11) Portfolio theory (91G10)

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Uses Software

• CPLEX

Cites Work

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