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A new method for mean-variance portfolio optimization with cardinality constraints

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Cited by:

  1. Christoph Buchheim & Marianna De Santis & Francesco Rinaldi & Long Trieu, 2018. "A Frank–Wolfe based branch-and-bound algorithm for mean-risk optimization," Journal of Global Optimization, Springer, vol. 70(3), pages 625-644, March.
  2. Lu Wang & Ferhana Ahmad & Gong-li Luo & Muhammad Umar & Dervis Kirikkaleli, 2022. "Portfolio optimization of financial commodities with energy futures," Annals of Operations Research, Springer, vol. 313(1), pages 401-439, June.
  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. Janusz Miroforidis, 2021. "Bounds on efficient outcomes for large-scale cardinality-constrained Markowitz problems," Journal of Global Optimization, Springer, vol. 80(3), pages 617-634, July.
  5. Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2013. "No arbitrage and a linear portfolio selection model," Economics Bulletin, AccessEcon, vol. 33(2), pages 1247-1258.
  6. Martin Branda & Max Bucher & Michal Červinka & Alexandra Schwartz, 2018. "Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization," Computational Optimization and Applications, Springer, vol. 70(2), pages 503-530, June.
  7. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2015. "Clustering of time series via non-parametric tail dependence estimation," Statistical Papers, Springer, vol. 56(3), pages 701-721, August.
  8. de Paulo, Wanderlei Lima & de Oliveira, Estela Mara & do Valle Costa, Oswaldo Luiz, 2016. "Enhanced index tracking optimal portfolio selection," Finance Research Letters, Elsevier, vol. 16(C), pages 93-102.
  9. Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2020. "An optimization–diversification approach to portfolio selection," Journal of Global Optimization, Springer, vol. 76(2), pages 245-265, February.
  10. Doering, Jana & Kizys, Renatas & Juan, Angel A. & Fitó, Àngels & Polat, Onur, 2019. "Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends," Operations Research Perspectives, Elsevier, vol. 6(C).
  11. Stefania Corsaro & Valentina Simone, 2019. "Adaptive $$l_1$$ l 1 -regularization for short-selling control in portfolio selection," Computational Optimization and Applications, Springer, vol. 72(2), pages 457-478, March.
  12. N. Krejić & E. H. M. Krulikovski & M. Raydan, 2023. "A Low-Cost Alternating Projection Approach for a Continuous Formulation of Convex and Cardinality Constrained Optimization," SN Operations Research Forum, Springer, vol. 4(4), pages 1-24, December.
  13. Kocherlakota Satya Pritam & Trilok Mathur & Shivi Agarwal & Sanjoy Kumar Paul & Ahmed Mulla, 2022. "A novel methodology for perception-based portfolio management," Annals of Operations Research, Springer, vol. 315(2), pages 1107-1133, August.
  14. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2018. "Asset allocation: new evidence through network approaches," Papers 1810.09825, arXiv.org.
  15. Alessandra Carleo & Francesco Cesarone & Andrea Gheno & Jacopo Maria Ricci, 2017. "Approximating exact expected utility via portfolio efficient frontiers," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 115-143, November.
  16. Unai Aldasoro & María Merino & Gloria Pérez, 2019. "Time consistent expected mean-variance in multistage stochastic quadratic optimization: a model and a matheuristic," Annals of Operations Research, Springer, vol. 280(1), pages 151-187, September.
  17. Paolo Giudici & Gloria Polinesi & Alessandro Spelta, 2022. "Network models to improve robot advisory portfolios," Annals of Operations Research, Springer, vol. 313(2), pages 965-989, June.
  18. Lampariello, Lorenzo & Neumann, Christoph & Ricci, Jacopo M. & Sagratella, Simone & Stein, Oliver, 2021. "Equilibrium selection for multi-portfolio optimization," European Journal of Operational Research, Elsevier, vol. 295(1), pages 363-373.
  19. Jongbin Jung & Seongmoon Kim, 2017. "Developing a dynamic portfolio selection model with a self-adjusted rebalancing method," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(7), pages 766-779, July.
  20. Lorenz M. Roebers & Aras Selvi & Juan C. Vera, 2018. "Using Column Generation to Solve Extensions to the Markowitz Model," Papers 1812.00093, arXiv.org, revised Jun 2019.
  21. Gian Paolo Clemente & Rosanna Grassi & Asmerilda Hitaj, 2021. "Asset allocation: new evidence through network approaches," Annals of Operations Research, Springer, vol. 299(1), pages 61-80, April.
  22. Akhter Mohiuddin Rather & V. N. Sastry & Arun Agarwal, 2017. "Stock market prediction and Portfolio selection models: a survey," OPSEARCH, Springer;Operational Research Society of India, vol. 54(3), pages 558-579, September.
  23. Justo Puerto & Moises Rodr'iguez-Madrena & Andrea Scozzari, 2019. "Location and portfolio selection problems: A unified framework," Papers 1907.07101, arXiv.org.
  24. 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.
  25. Bruni, Renato & Cesarone, Francesco & Scozzari, Andrea & Tardella, Fabio, 2017. "On exact and approximate stochastic dominance strategies for portfolio selection," European Journal of Operational Research, Elsevier, vol. 259(1), pages 322-329.
  26. 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.
  27. Justo Puerto & Federica Ricca & Mois'es Rodr'iguez-Madrena & Andrea Scozzari, 2021. "A combinatorial optimization approach to scenario filtering in portfolio selection," Papers 2103.01123, arXiv.org.
  28. Francesco Cesarone & Manuel Luis Martino & Alessandra Carleo, 2022. "Does ESG Impact Really Enhance Portfolio Profitability?," Sustainability, MDPI, vol. 14(4), pages 1-28, February.
  29. Francesco Cesarone & Fabio Tardella, 2017. "Equal Risk Bounding is better than Risk Parity for portfolio selection," Journal of Global Optimization, Springer, vol. 68(2), pages 439-461, June.
  30. Juan Francisco Monge, 2017. "Cardinality constrained portfolio selection via factor models," Papers 1708.02424, arXiv.org.
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