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Optimal Lot Solution To Cardinality Constrained Mean–Variance Formulation For Portfolio Selection

Citations

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Cited by:

  1. Belaïd Aouni & Cinzia Colapinto & Davide Torre, 2013. "A cardinality constrained stochastic goal programming model with satisfaction functions for venture capital investment decision making," Annals of Operations Research, Springer, vol. 205(1), pages 77-88, May.
  2. Lili Pan & Ziyan Luo & Naihua Xiu, 2017. "Restricted Robinson Constraint Qualification and Optimality for Cardinality-Constrained Cone Programming," Journal of Optimization Theory and Applications, Springer, vol. 175(1), pages 104-118, October.
  3. P. Bonami & M. A. Lejeune, 2009. "An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints," Operations Research, INFORMS, vol. 57(3), pages 650-670, June.
  4. 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.
  5. Jan Jurczyk & Alexander Eckrot & Ingo Morgenstern, 2016. "Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model," PLOS ONE, Public Library of Science, vol. 11(6), pages 1-12, June.
  6. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
  7. Khodamoradi, T. & Salahi, M. & Najafi, A.R., 2020. "Robust CCMV model with short selling and risk-neutral interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 547(C).
  8. 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.
  9. Jiangong Wu & J. F. Gomez-Aguilar & Rahman Taleghani, 2025. "Portfolio Optimization Under the Uncertain Financial Model," Computational Economics, Springer;Society for Computational Economics, vol. 66(1), pages 571-592, July.
  10. Wei Xu & Jie Tang & Ka Fai Cedric Yiu & Jian Wen Peng, 2024. "An Efficient Global Optimal Method for Cardinality Constrained Portfolio Optimization," INFORMS Journal on Computing, INFORMS, vol. 36(2), pages 690-704, March.
  11. Tahereh Khodamoradi & Maziar Salahi & Ali Reza Najafi, 2021. "Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 197-214, June.
  12. Zhou, Zhongbao & Jin, Qianying & Xiao, Helu & Wu, Qian & Liu, Wenbin, 2018. "Estimation of cardinality constrained portfolio efficiency via segmented DEA," Omega, Elsevier, vol. 76(C), pages 28-37.
  13. Nasim Dehghan Hardoroudi & Abolfazl Keshvari & Markku Kallio & Pekka Korhonen, 2017. "Solving cardinality constrained mean-variance portfolio problems via MILP," Annals of Operations Research, Springer, vol. 254(1), pages 47-59, July.
  14. K. Liagkouras & K. Metaxiotis, 2018. "A new efficiently encoded multiobjective algorithm for the solution of the cardinality constrained portfolio optimization problem," Annals of Operations Research, Springer, vol. 267(1), pages 281-319, August.
  15. X. J. Zheng & X. L. Sun & D. Li, 2010. "Separable Relaxation for Nonconvex Quadratic Integer Programming: Integer Diagonalization Approach," Journal of Optimization Theory and Applications, Springer, vol. 146(2), pages 463-489, August.
  16. Hyunglip Bae & Haeun Jeon & Minsu Park & Yongjae Lee & Woo Chang Kim, 2025. "A Cholesky decomposition-based asset selection heuristic for sparse tangent portfolio optimization," Papers 2502.11701, arXiv.org.
  17. Najafi, Alireza & Taleghani, Rahman, 2022. "Fractional Liu uncertain differential equation and its application to finance," Chaos, Solitons & Fractals, Elsevier, vol. 165(P2).
  18. Cristiano Arbex Valle, 2024. "Portfolio optimisation: bridging the gap between theory and practice," Papers 2407.00887, arXiv.org, revised Sep 2024.
  19. E. Grizickas Sapkute & M. A. Sánchez-Granero & M. N. López García & J. E. Trinidad Segovia, 2022. "Correction: The impact of regulation-based constraints on portfolio selection: The Spanish case," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 9(1), pages 1-1, December.
  20. 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.
  21. Anis, Hassan T. & Kwon, Roy H., 2022. "Cardinality-constrained risk parity portfolios," European Journal of Operational Research, Elsevier, vol. 302(1), pages 392-402.
  22. Mei Choi Chiu & Chi Seng Pun & Hoi Ying Wong, 2017. "Big Data Challenges of High‐Dimensional Continuous‐Time Mean‐Variance Portfolio Selection and a Remedy," Risk Analysis, John Wiley & Sons, vol. 37(8), pages 1532-1549, August.
  23. Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
  24. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2013. "A new method for mean-variance portfolio optimization with cardinality constraints," Annals of Operations Research, Springer, vol. 205(1), pages 213-234, May.
  25. Fereshteh Vaezi & Seyed Jafar Sadjadi & Ahmad Makui, 2019. "A portfolio selection model based on the knapsack problem under uncertainty," PLOS ONE, Public Library of Science, vol. 14(5), pages 1-19, May.
  26. D. Li & X. Sun & C. Liu, 2012. "An exact solution method for unconstrained quadratic 0–1 programming: a geometric approach," Journal of Global Optimization, Springer, vol. 52(4), pages 797-829, April.
  27. Madani Bezoui & Mustapha Moulaï & Ahcène Bounceur & Reinhardt Euler, 2019. "An iterative method for solving a bi-objective constrained portfolio optimization problem," Computational Optimization and Applications, Springer, vol. 72(2), pages 479-498, March.
  28. Adolfo Hilario-Caballero & Ana Garcia-Bernabeu & Jose Vicente Salcedo & Marisa Vercher, 2020. "Tri-Criterion Model for Constructing Low-Carbon Mutual Fund Portfolios: A Preference-Based Multi-Objective Genetic Algorithm Approach," IJERPH, MDPI, vol. 17(17), pages 1-15, August.
  29. Xiaojin Zheng & Xiaoling Sun & Duan Li, 2014. "Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach," INFORMS Journal on Computing, INFORMS, vol. 26(4), pages 690-703, November.
  30. Juan Francisco Monge, 2017. "Cardinality constrained portfolio selection via factor models," Papers 1708.02424, arXiv.org.
  31. 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.
  32. Jianjun Gao & Duan Li, 2013. "Optimal Cardinality Constrained Portfolio Selection," Operations Research, INFORMS, vol. 61(3), pages 745-761, June.
  33. Zhi-Long Dong & Fengmin Xu & Yu-Hong Dai, 2020. "Fast algorithms for sparse portfolio selection considering industries and investment styles," Journal of Global Optimization, Springer, vol. 78(4), pages 763-789, December.
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