Cardinality constrained portfolio selection problem: a completely positive programming approach
DOI10.3934/jimo.2016.12.1041zbMath1328.90116OpenAlexW2526503275WikidataQ57431531 ScholiaQ57431531MaRDI QIDQ898723
Ye Tian, Qing-Wei Jin, Shu-Cherng Fang, Zhi-bin Deng
Publication date: 18 December 2015
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016.12.1041
second-order conecompletely positive programmingadaptive approximationcardinality constrained portfolio selection problem
Semidefinite programming (90C22) Nonconvex programming, global optimization (90C26) Approximation methods and heuristics in mathematical programming (90C59) Approximation in the complex plane (30E10)
Related Items (2)
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Computable representation of the cone of nonnegative quadratic forms over a general second-order cone and its application to completely positive programming
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Exact computable representation of some second-order cone constrained quadratic programming problems
- Robust portfolio optimization with derivative insurance guarantees
- Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
- A computational comparison of reformulations of the perspective relaxation: SOCP vs. cutting planes
- Algorithm for cardinality-constrained quadratic optimization
- An empirical study on discrete optimization models for portfolio selection
- Optimization of cardinality constrained portfolios with a hybrid local search algorithm
- Heuristics for cardinality constrained portfolio optimization
- Computational study of a family of mixed-integer quadratic programming problems
- On the use of optimization models for portfolio selection: A review and some computational results
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Detecting copositivity of a symmetric matrix by an adaptive ellipsoid-based approximation scheme
- On the copositive representation of binary and continuous nonconvex quadratic programs
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- Portfolio optimization and risk measurement based on non-dominated sorting genetic algorithm
- Perspective cuts for a class of convex 0-1 mixed integer programs
- Computational aspects of a branch and bound algorithm for quadratic zero- one programming
- SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
- A Minimax Portfolio Selection Rule with Linear Programming Solution
- Optimal Cardinality Constrained Portfolio Selection
- Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach
- An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- Some NP-complete problems in quadratic and nonlinear programming
- New Results on Quadratic Minimization
- Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
- Convex Analysis
- On Cones of Nonnegative Quadratic Functions
This page was built for publication: Cardinality constrained portfolio selection problem: a completely positive programming approach
