Solving cardinality constrained mean-variance portfolio problems via MILP
From MaRDI portal
Publication:2400005
DOI10.1007/s10479-017-2447-xzbMath1406.91407OpenAlexW2592957206MaRDI QIDQ2400005
Abolfazl Keshvari, Markku Kallio, Pekka J. Korhonen, Nasim Dehghan Hardoroudi
Publication date: 25 August 2017
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-017-2447-x
Related Items
Solving bi-objective uncertain stochastic resource allocation problems by the CVaR-based risk measure and decomposition-based multi-objective evolutionary algorithms ⋮ Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization ⋮ Hybrid Enhanced Binary Honey Badger Algorithm with Quadratic Programming for Cardinality Constrained Portfolio Optimization ⋮ Segmented concave least squares: a nonparametric piecewise linear regression
Cites Work
- A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
- Algorithm for cardinality-constrained quadratic optimization
- Portfolio selection using neural networks
- On standard quadratic optimization problems
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- Heuristics for cardinality constrained portfolio optimization
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Second-order stochastic dominance constrained portfolio optimization: theory and computational tests
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Heuristic algorithms for the cardinality constrained efficient frontier
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- A new method for mean-variance portfolio optimization with cardinality constraints
- Mean-variance approximations to expected utility
- Twenty years of linear programming based portfolio optimization
- A portfolio optimization model with three objectives and discrete variables
- Coherent Measures of Risk
- A Lifted Linear Programming Branch-and-Bound Algorithm for Mixed-Integer Conic Quadratic Programs
- A concave optimization-based approach for sparse portfolio selection
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Robust investment strategies with discrete asset choice constraints using DC programming
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
- Frontiers of Stochastically Nondominated Portfolios
- Mathematical Programs with Cardinality Constraints: Reformulation by Complementarity-Type Conditions and a Regularization Method
