A new method for mean-variance portfolio optimization with cardinality constraints
- 13 June 2012
- journal article
- research article
- Published by Springer Science and Business Media LLC in Annals of Operations Research
- Vol. 205 (1), 213-234
- https://doi.org/10.1007/s10479-012-1165-7
Abstract
No abstract availableKeywords
This publication has 35 references indexed in Scilit:
- The fundamental theorem of linear programming: extensions and applicationsOptimization, 2011
- Robust investment strategies with discrete asset choice constraints using DC programmingOptimization, 2010
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimizationOptimization Methods and Software, 2008
- Algorithm for cardinality-constrained quadratic optimizationComputational Optimization and Applications, 2007
- New and old bounds for standard quadratic optimization: dominance, equivalence and incomparabilityMathematical Programming, 2007
- OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTIONMathematical Finance, 2006
- Perspective cuts for a class of convex 0–1 mixed integer programsMathematical Programming, 2005
- Stylized facts on the temporal and distributional properties of daily FT–SE returnsApplied Financial Economics, 1997
- An improved branch and bound algorithm for mixed integer nonlinear programsComputers & Operations Research, 1994
- OR-Library: Distributing Test Problems by Electronic MailJournal of the Operational Research Society, 1990