Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset

DOI10.1111/itor.13121OpenAlexW4210608726MaRDI QIDQ6079983

Ignacy Kaliszewski, Przemysław Juszczuk, Janusz Miroforidis, Dmitry Podkopaev

Publication date: 29 September 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.13121

zbMATH Keywords

risk-free assetefficient frontier approximationmean-variance investingportfolio cardinality

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (3)

Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure ⋮ A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization ⋮ The performance of bank portfolio optimization

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