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Algorithm for cardinality-constrained quadratic optimization

Author

Listed:
  • Dimitris Bertsimas

    ()

  • Romy Shioda

    ()

Abstract

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Suggested Citation

  • 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
    as

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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. C. E. Lemke, 1965. "Bimatrix Equilibrium Points and Mathematical Programming," Management Science, INFORMS, vol. 11(7), pages 681-689, May.
    4. 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.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. repec:spr:joptap:v:175:y:2017:i:1:d:10.1007_s10957-017-1166-4 is not listed on IDEAS
    2. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF, Faculty of Economics, University of Coimbra.
    3. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2015. "Linear vs. quadratic portfolio selection models with hard real-world constraints," Computational Management Science, Springer, vol. 12(3), pages 345-370, July.
    4. Jianjun Gao & Duan Li, 2013. "A polynomial case of the cardinality-constrained quadratic optimization problem," Journal of Global Optimization, Springer, vol. 56(4), pages 1441-1455, August.
    5. Ceren Tuncer Şakar & Murat Köksalan, 2013. "A stochastic programming approach to multicriteria portfolio optimization," Journal of Global Optimization, Springer, vol. 57(2), pages 299-314, October.
    6. repec:eee:jomega:v:76:y:2018:i:c:p:28-37 is not listed on IDEAS
    7. repec:eee:proeco:v:193:y:2017:i:c:p:222-243 is not listed on IDEAS
    8. Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
    9. X. Cui & X. Zheng & S. Zhu & X. Sun, 2013. "Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems," Journal of Global Optimization, Springer, vol. 56(4), pages 1409-1423, August.
    10. Xiaojin Zheng & Xiaoling Sun & Duan Li & Jie Sun, 2014. "Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach," Computational Optimization and Applications, Springer, vol. 59(1), pages 379-397, October.
    11. Sefair, Jorge A. & Méndez, Carlos Y. & Babat, Onur & Medaglia, Andrés L. & Zuluaga, Luis F., 2017. "Linear solution schemes for Mean-SemiVariance Project portfolio selection problems: An application in the oil and gas industry," Omega, Elsevier, vol. 68(C), pages 39-48.
    12. Ricardo M. Lima & Ignacio E. Grossmann, 2017. "On the solution of nonconvex cardinality Boolean quadratic programming problems: a computational study," Computational Optimization and Applications, Springer, vol. 66(1), pages 1-37, January.
    13. Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2011. "Heuristic algorithms for the cardinality constrained efficient frontier," European Journal of Operational Research, Elsevier, vol. 213(3), pages 538-550, September.
    14. Miyashiro, Ryuhei & Takano, Yuichi, 2015. "Mixed integer second-order cone programming formulations for variable selection in linear regression," European Journal of Operational Research, Elsevier, vol. 247(3), pages 721-731.
    15. repec:spr:annopr:v:254:y:2017:i:1:d:10.1007_s10479-017-2447-x is not listed on IDEAS
    16. Caihua Chen & Xindan Li & Caleb Tolman & Suyang Wang & Yinyu Ye, 2013. "Sparse Portfolio Selection via Quasi-Norm Regularization," Papers 1312.6350, arXiv.org.
    17. Toshiki Sato & Yuichi Takano & Ryuhei Miyashiro & Akiko Yoshise, 2016. "Feature subset selection for logistic regression via mixed integer optimization," Computational Optimization and Applications, Springer, vol. 64(3), pages 865-880, July.
    18. Juan Francisco Monge, 2017. "Cardinality constrained portfolio selection via factor models," Papers 1708.02424, arXiv.org.

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