Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm

DOI10.1080/10556788.2017.1414815zbMath1421.90169OpenAlexW2789746826MaRDI QIDQ4631770

Qian Li, Xin Yan, Wei Zhang, Yan-Qin Bai

Publication date: 23 April 2019

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2017.1414815

zbMATH Keywords

nonconvex programmingbranch-and-boundsystematic riskmean-variance modelaccelerated gradient algorithm

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Fractional programming (90C32) Mathematical economics (91B99)

Related Items (2)

A new global algorithm for factor-risk-constrained mean-variance portfolio selection ⋮ Sparse and risk diversification portfolio selection

Uses Software

• CVX

Cites Work

• Smooth minimization of non-smooth functions
• Accelerated gradient methods for nonconvex nonlinear and stochastic programming
• Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
• An optimal method for stochastic composite optimization
• A simplicial branch-and-bound method for solving nonconvex all-quadratic programs
• A relaxation method for nonconvex quadratically constrained quadratic programs
• A branch and cut algorithm for nonconvex quadratically constrained quadratic programming
• Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
• An optimal trade-off model for portfolio selection with sensitivity of parameters
• Second order cone programming relaxation of nonconvex quadratic optimization problems
• Optimal Stochastic Approximation Algorithms for Strongly Convex Stochastic Composite Optimization I: A Generic Algorithmic Framework
• Portfolio selection with marginal risk control
• Common risk factors in the returns on stocks and bonds
• Nonlinear Programming

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