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Algorithm for cardinality-constrained quadratic optimization

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  • Dimitris Bertsimas
  • Romy Shioda

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  • Dimitris Bertsimas & Romy Shioda, 2009. "Algorithm for cardinality-constrained quadratic optimization," Computational Optimization and Applications, Springer, vol. 43(1), pages 1-22, May.
    • Handle: RePEc:spr:coopap:v:43:y:2009:i:1:p:1-22
    DOI: 10.1007/s10589-007-9126-9
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    References listed on IDEAS

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    1. C. E. Lemke, 1965. "Bimatrix Equilibrium Points and Mathematical Programming," Management Science, INFORMS, vol. 11(7), pages 681-689, May.
    2. Dimitris Bertsimas & Christopher Darnell & Robert Soucy, 1999. "Portfolio Construction Through Mixed-Integer Programming at Grantham, Mayo, Van Otterloo and Company," Interfaces, INFORMS, vol. 29(1), pages 49-66, February.
    3. Jacob, Nancy L, 1974. "A Limited-Diversification Portfolio Selection Model for the Small Investor," Journal of Finance, American Finance Association, vol. 29(3), pages 847-856, June.
    4. Nitin R. Patel & Marti G. Subrahmanyam, 1982. "A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs," Management Science, INFORMS, vol. 28(3), pages 303-314, March.
    5. Mansini, Renata & Speranza, Maria Grazia, 1999. "Heuristic algorithms for the portfolio selection problem with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 114(2), pages 219-233, April.
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