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Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA

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  • Hoai Le Thi
  • Mahdi Moeini
  • Tao Pham Dinh

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  • Hoai Le Thi & Mahdi Moeini & Tao Pham Dinh, 2009. "Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA," Computational Management Science, Springer, vol. 6(4), pages 459-475, October.
    • Handle: RePEc:spr:comgts:v:6:y:2009:i:4:p:459-475
    DOI: 10.1007/s10287-009-0098-3
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    References listed on IDEAS

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    1. N. J. Jobst & M. D. Horniman & C. A. Lucas & G. Mitra, 2001. "Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 489-501.
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    Cited by:

    1. Hoai An Le Thi & Mahdi Moeini, 2014. "Long-Short Portfolio Optimization Under Cardinality Constraints by Difference of Convex Functions Algorithm," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 199-224, April.
    2. Mahdi Moeini, 2022. "Solving the index tracking problem: a continuous optimization approach," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 30(2), pages 807-835, June.

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