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A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals

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  • Syam, Siddhartha S.

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  • Syam, Siddhartha S., 1998. "A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals," European Journal of Operational Research, Elsevier, vol. 108(1), pages 196-207, July.
    • Handle: RePEc:eee:ejores:v:108:y:1998:i:1:p:196-207
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    3. Elton, Edwin J & Gruber, Martin J & Padberg, Manfred W, 1976. "Simple Criteria for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 31(5), pages 1341-1357, December.
    4. Kurt M. Bretthauer & Bala Shetty & Siddhartha Syam, 1995. "A Branch and Bound Algorithm for Integer Quadratic Knapsack Problems," INFORMS Journal on Computing, INFORMS, vol. 7(1), pages 109-116, February.
    5. Jong-Shi Pang, 1980. "A New and Efficient Algorithm for a Class of Portfolio Selection Problems," Operations Research, INFORMS, vol. 28(3-part-ii), pages 754-767, June.
    6. Soren S. Nielsen & Stavros A. Zenios, 1992. "Massively Parallel Algorithms for Singly Constrained Convex Programs," INFORMS Journal on Computing, INFORMS, vol. 4(2), pages 166-181, May.
    7. Edwin J. Elton & Martin J. Gruber & Manfred W. Padberg, 1977. "Simple Criteria for Optimal Portfolio Selection with Upper Bounds," Operations Research, INFORMS, vol. 25(6), pages 952-967, December.
    8. Arthur M. Geoffrion, 1970. "Elements of Large-Scale Mathematical Programming Part I: Concepts," Management Science, INFORMS, vol. 16(11), pages 652-675, July.
    9. D. J. Laughhunn, 1970. "Quadratic Binary Programming with Application to Capital-Budgeting Problems," Operations Research, INFORMS, vol. 18(3), pages 454-461, June.
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    Cited by:

    1. Enrico Bettiol & Lucas Létocart & Francesco Rinaldi & Emiliano Traversi, 2020. "A conjugate direction based simplicial decomposition framework for solving a specific class of dense convex quadratic programs," Computational Optimization and Applications, Springer, vol. 75(2), pages 321-360, March.
    2. 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.
    3. 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.
    4. 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.
    5. A. Hilario-Caballero & A. Garcia-Bernabeu & J. V. Salcedo & M. Vercher, 2020. "Tri-criterion model for constructing low-carbon mutual fund portfolios: a preference-based multi-objective genetic algorithm approach," Papers 2006.11888, arXiv.org.
    6. Zhiping Chen & Shen Peng & Abdel Lisser, 2020. "A sparse chance constrained portfolio selection model with multiple constraints," Journal of Global Optimization, Springer, vol. 77(4), pages 825-852, August.
    7. 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.
    8. 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.

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