Algorithm for cardinality-constrained quadratic optimization
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- 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.
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- repec:spr:joptap:v:175:y:2017:i:1:d:10.1007_s10957-017-1166-4 is not listed on IDEAS
- 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.
- 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.
- 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.
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- 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.
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- 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.
- Juan Francisco Monge, 2017. "Cardinality constrained portfolio selection via factor models," Papers 1708.02424, arXiv.org.
More about this item
KeywordsMixed-integer quadratic programming; Branch-and-bound; Lemke’s method; Subset selection; Portfolio selection;
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