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Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
16 references·7 citing·31 second hop
Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems (2012)Convex relaxations and MIQCQP reformulati…Mining market data: A network approach (2005)Mining market data: A network…A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)A Comparison of VaR and CVaR …Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk for…Optimization of conditional value-at-risk (2000)Optimization of conditional v…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…A Minimax Portfolio Selection Rule with Linear Programming Solution (1998)A Minimax Portfolio Selection…An Overview of Value at Risk (1997)An Overview of Value at RiskValue at risk: the new benchmark for controlling market risk (1996)Value at risk: the new benchm…The Three Types of Factor Models: A Comparison of Their Explanatory Power (1995)The Three Types of Factor Mod…Size and Book-to-Market Factors in Earnings and Returns (1995)Size and Book-to-Market Facto…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…A Scalable Algorithm for Sparse Portfolio Selection (2022)A Scalable Algorithm for Spar…A parallel variable neighborhood search algorithm with quadratic programming for cardinality constrained portfolio optimization (2020)A parallel variable neighborh…Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility (2018)Uncertain mean-variance model…A generalized approach to sparse and stable portfolio optimization problem (2018)A generalized approach to spa…A constrained portfolio selection model at considering risk-adjusted measure by using hybrid meta-heuristic algorithms (2018)A constrained portfolio selec…An extended model for project portfolio selection with project divisibility and interdependency (2015)An extended model for project…Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints (2014)Multiperiod mean absolute dev…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)An Intertemporal Capital Asset Pricing Model (1973)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)A five-factor asset pricing model (2014)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Modeling and Forecasting Realized Volatility (2001)PORTFOLIO SELECTION* (1952)Coherent Measures of Risk (1999)On the coherence of expected shortfall (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Making and Evaluating Point Forecasts (2011)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Testing Density Forecasts, With Applications to Risk Management (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems (2010)Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations (2015)Multifactor Explanations of Asset Pricing Anomalies (1996)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Adjustment of Stock Prices to New Information (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
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  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 2002Conditional value-at-risk for general loss distributions3,847 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 1995Size and Book-to-Market Factors in Earnings and Returns3,456 cited
  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 1997An Overview of Value at Risk1,320 cited
  • 1996Value at risk: the new benchmark for controlling market risk1,018 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1998A Minimax Portfolio Selection Rule with Linear Programming Solution406 cited
  • 2004A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model333 cited
  • 2005Mining market data: A network approach283 cited

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  • 1995The Three Types of Factor Models: A Comparison of Their Explanatory Power225 cited
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    • 2018Uncertain mean-variance model for dynamic project portfolio selection problem with divisibility44 cited
    • 2018A generalized approach to sparse and stable portfolio optimization problem42 cited
    • 2015An extended model for project portfolio selection with project divisibility and interdependency41 cited