Robust investment strategies with discrete asset choice constraints using DC programming
From MaRDI portal
Publication:3553750
DOI10.1080/02331930903500274zbMath1188.90184OpenAlexW2006272043MaRDI QIDQ3553750
Mahdi Moeini, Nalân Gülpinar, Hoai An Le Thi
Publication date: 21 April 2010
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331930903500274
Mixed integer programming (90C11) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)
Related Items (16)
Solving continuous min max problem for single period portfolio selection with discrete constraints by DCA ⋮ A new method for mean-variance portfolio optimization with cardinality constraints ⋮ Solving cardinality constrained mean-variance portfolio problems via MILP ⋮ A solution approach for cardinality minimization problem based on fractional programming ⋮ Solving the index tracking problem: a continuous optimization approach ⋮ An iterative method for solving a bi-objective constrained portfolio optimization problem ⋮ The Maximum Ratio Clique Problem: A Continuous Optimization Approach and Some New Results ⋮ A Cross-Efficiency Approach for Evaluating Decision Making Units in Presence of Undesirable Outputs ⋮ A DC programming approach for sensor network localization with uncertainties in anchor positions ⋮ DC programming and DCA: thirty years of developments ⋮ DC decomposition of nonconvex polynomials with algebraic techniques ⋮ DC formulations and algorithms for sparse optimization problems ⋮ Heuristic algorithms for the cardinality constrained efficient frontier ⋮ An augmented Lagrangian proximal alternating method for sparse discrete optimization problems ⋮ Solving nonnegative sparsity-constrained optimization via DC quadratic-piecewise-linear approximations ⋮ A penalty PALM method for sparse portfolio selection problems
Cites Work
- Simulation and optimization approaches to scenario tree generation
- Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
- DC programming and DCA for globally solving the value-at-risk
- Heuristics for cardinality constrained portfolio optimization
- The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
- Collusive game solutions via optimization
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- A continuous approch for globally solving linearly constrained quadratic
- DC programming approach for portfolio optimization under step increasing transaction costs
- A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
- Combined SVM-based feature selection and classification
This page was built for publication: Robust investment strategies with discrete asset choice constraints using DC programming
