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Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
12 references·1 citing·42 second hop
Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach (2013)Successive convex approximations to cardi…Optimal Cardinality Constrained Portfolio Selection (2013)Optimal Cardinality Constrain…Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems (2012)Convex relaxations and MIQCQP…Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach (2011)Sequential Convex Approximati…Heuristic algorithms for the cardinality constrained efficient frontier (2011)Heuristic algorithms for the …An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints (2009)An Exact Solution Approach fo…Lagrangian relaxation procedure for cardinality-constrained portfolio optimization (2008)Lagrangian relaxation procedu…OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION (2006)OPTIMAL LOT SOLUTION TO CARDI…Optimization of cardinality constrained portfolios with a hybrid local search algorithm (2003)Optimization of cardinality c…Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints (2001)Computational aspects of alte…Heuristics for cardinality constrained portfolio optimisation (2000)Heuristics for cardinality co…Mathematical Programming in Statistics. (1982)Mathematical Programming in S…A LIMITED‐DIVERSIFICATION PORTFOLIO SELECTION MODEL FOR THE SMALL INVESTOR (1974)A LIMITED‐DIVERSIFICATION POR…Complex portfolio selection via convex mixed‐integer quadratic programming: a survey (2018)Complex portfolio selection v…Modern Portfolio Theory and Investment Analysis. (1982)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Coherent Measures of Risk (1999)Constrained Portfolio Selection using Particle Swarm Optimization (2011)Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization (2011)A new method for mean-variance portfolio optimization with cardinality constraints (2012)Portfolio Selection: Efficient Diversification of Investments (1959)Improved estimation of the covariance matrix of stock returns with an application to portfolio selection (2003)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization (2020)Cardinality-constrained portfolio selection based on collaborative neurodynamic optimization (2021)A Scalable Algorithm for Sparse Portfolio Selection (2022)The arbitrage theory of capital asset pricing (1976)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Portfolio Selection (1952)Equilibrium Points of Bimatrix Games (1964)Introduction to Operations Research (1968)Kernel Search: An application to the index tracking problem (2011)A comprehensive review of deterministic models and applications for mean-variance portfolio optimization (2019)Minimax and Biobjective Portfolio Selection Based on Collaborative Neurodynamic Optimization (2020)Safety First and the Holding of Assets (1952)Conditional value-at-risk for general loss distributions (2002)A brief review of portfolio optimization techniques (2022)Optimization of conditional value-at-risk (2000)Robust solutions of Linear Programming problems contaminated with uncertain data (2000)The Price of Robustness (2004)A branch-and-cut decomposition algorithm for solving chance-constrained mathematical programs with finite support (2013)Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk (2014)Minimum cost consensus models based on random opinions (2017)Portfolio Selection: Efficient Diversification of Investments. (1962)An MCDM approach to portfolio optimization (2003)Simulated annealing for complex portfolio selection problems (2003)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)A Simplified Model for Portfolio Analysis (1963)Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)Twenty years of linear programming based portfolio optimization (2013)Theory of games and economic behavior (2019)Mutual Fund Performance (1966)Modeling and optimization of risk (2010)Origins, uses of, and relations between goal programming and data envelopment analysis (2005)On the role of norm constraints in portfolio selection (2011)A new heuristic for solving the p-median problem in the plane (2012)
this work references cited by second hop

References

  • 2000Heuristics for cardinality constrained portfolio optimisation927 cited
  • 2001Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints240 cited
  • 2009An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints199 cited
  • 2011Heuristic algorithms for the cardinality constrained efficient frontier195 cited
  • 2011Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach191 cited
  • 1982Mathematical Programming in Statistics.187 cited
  • 2003Optimization of cardinality constrained portfolios with a hybrid local search algorithm175 cited
  • 2006OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION163 cited
  • 2008Lagrangian relaxation procedure for cardinality-constrained portfolio optimization158 cited
  • 2013Optimal Cardinality Constrained Portfolio Selection154 cited
  • 1974A LIMITED‐DIVERSIFICATION PORTFOLIO SELECTION MODEL FOR THE SMALL INVESTOR119 cited
  • 2012Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems79 cited

Cited by

  • 2018Complex portfolio selection via convex mixed‐integer quadratic programming: a survey33 cited

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