Tight Upper Bounds on the Cardinality Constrained Mean-Variance Portfolio Optimization Problem Using Truncated Eigendecomposition
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Publication:2806963
DOI10.1007/978-3-319-28697-6_54zbMath1341.91127OpenAlexW800331916MaRDI QIDQ2806963
Torbjörn Larsson, Fred Mayambala, Elina Rönnberg
Publication date: 19 May 2016
Published in: Operations Research Proceedings (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-28697-6_54
Cites Work
- Portfolio selection using neural networks
- An improved branch and bound algorithm for mixed integer nonlinear programs
- Heuristics for cardinality constrained portfolio optimization
- A local relaxation method for the cardinality constrained portfolio optimization problem
- Perspective cuts for a class of convex 0-1 mixed integer programs
- An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
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