IDEAS home Printed from https://ideas.repec.org/a/inm/orijoc/v33y2021i1p163-179.html
   My bibliography  Save this article

Perspective Reformulations of Semicontinuous Quadratically Constrained Quadratic Programs

Author

Listed:
  • Xiaojin Zheng

    (School of Economics and Management, Tongji University, 200092 Shanghai, People’s Republic of China)

  • Yutong Pan

    (School of Economics and Management, Tongji University, 200092 Shanghai, People’s Republic of China)

  • Zhaolin Hu

    (School of Economics and Management, Tongji University, 200092 Shanghai, People’s Republic of China)

Abstract

We study perspective reformulations (PRs) of semicontinuous quadratically constrained quadratic programs (SQCQPs) in this paper. Based on perspective functions, we first propose a class of PRs for SQCQPs and discuss how to find the best PR in this class via strong duality and lifting techniques. We then study the properties of the PR class and relate them to alternative formulations that are used to derive lower bounds for SQCQPs. Finally, we embed the PR bounds in branch-and-bound algorithms and conduct computational experiments to illustrate the effectiveness of the proposed approach.

Suggested Citation

  • Xiaojin Zheng & Yutong Pan & Zhaolin Hu, 2021. "Perspective Reformulations of Semicontinuous Quadratically Constrained Quadratic Programs," INFORMS Journal on Computing, INFORMS, vol. 33(1), pages 163-179, January.
    • Handle: RePEc:inm:orijoc:v:33:y:2021:i:1:p:163-179
    DOI: 10.1287/ijoc.2019.0925
    as

    Download full text from publisher

    File URL: https://doi.org/10.1287/ijoc.2019.0925
    Download Restriction: no
    File URL: https://libkey.io/10.1287/ijoc.2019.0925?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    3. 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.
    4. Victor DeMiguel & Francisco J. Nogales, 2009. "Portfolio Selection with Robust Estimation," Operations Research, INFORMS, vol. 57(3), pages 560-577, June.
    5. Fama, Eugene F & French, Kenneth R, 1995. "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-155, March.
    6. 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.
    7. Antonio Frangioni & Fabio Furini & Claudio Gentile, 2016. "Approximated perspective relaxations: a project and lift approach," Computational Optimization and Applications, Springer, vol. 63(3), pages 705-735, April.
    8. Antonio Frangioni & Claudio Gentile & James Hungerford, 2020. "Decompositions of Semidefinite Matrices and the Perspective Reformulation of Nonseparable Quadratic Programs," Mathematics of Operations Research, INFORMS, vol. 45(1), pages 15-33, February.
    9. Antonio Frangioni & Claudio Gentile & Enrico Grande & Andrea Pacifici, 2011. "Projected Perspective Reformulations with Applications in Design Problems," Operations Research, INFORMS, vol. 59(5), pages 1225-1232, October.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Dimitris Bertsimas & Ryan Cory-Wright, 2022. "A Scalable Algorithm for Sparse Portfolio Selection," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1489-1511, May.
    2. James W. Kolari & Jianhua Z. Huang & Wei Liu & Huiling Liao, 2022. "Further Tests of the ZCAPM Asset Pricing Model," JRFM, MDPI, vol. 15(3), pages 1-23, March.
    3. M. Ariff & Vijaya B. Marisetty, 2012. "Panel data approach to identify factors correlated with equity market risk premiums in developed and emerging markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 107-118, April.
    4. Antonio Frangioni & Claudio Gentile & James Hungerford, 2020. "Decompositions of Semidefinite Matrices and the Perspective Reformulation of Nonseparable Quadratic Programs," Mathematics of Operations Research, INFORMS, vol. 45(1), pages 15-33, February.
    5. Andreas Ziegler & Michael Schröder & Anja Schulz & Richard Stehle, 2007. "Multifaktormodelle zur Erklärung deutscher Aktienrenditen: Eine empirische Analyse," Schmalenbach Journal of Business Research, Springer, vol. 59(3), pages 355-389, May.
    6. Sonntag, Dominik, 2018. "Die Theorie der fairen geometrischen Rendite [The Theory of Fair Geometric Returns]," MPRA Paper 87082, University Library of Munich, Germany.
    7. Fernando Rubio, 2005. "Eficiencia De Mercado, Administracion De Carteras De Fondos Y Behavioural Finance," Finance 0503028, University Library of Munich, Germany, revised 23 Jul 2005.
    8. Carina Moreira Costa & Dennis Kreber & Martin Schmidt, 2022. "An Alternating Method for Cardinality-Constrained Optimization: A Computational Study for the Best Subset Selection and Sparse Portfolio Problems," INFORMS Journal on Computing, INFORMS, vol. 34(6), pages 2968-2988, November.
    9. Zheng, Xiaojin & Wu, Baiyi & Cui, Xueting, 2017. "Cell-and-bound algorithm for chance constrained programs with discrete distributions," European Journal of Operational Research, Elsevier, vol. 260(2), pages 421-431.
    10. Christiane Goodfellow & Dirk Schiereck & Steffen Wippler, 2013. "Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 111-119, April.
    11. Frederico Belo & Chen Xue & Lu Zhang, 2010. "Cross-sectional Tobin's Q," NBER Working Papers 16336, National Bureau of Economic Research, Inc.
    12. Flouris, Triant & Walker, Thomas, 2005. "Financial Comparisons Across Different Business Models in the Canadian Airline Industry," 46th Annual Transportation Research Forum, Washington, D.C., March 6-8, 2005 208157, Transportation Research Forum.
    13. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    14. Horowitz, Joel L. & Loughran, Tim & Savin, N. E., 2000. "The disappearing size effect," Research in Economics, Elsevier, vol. 54(1), pages 83-100, March.
    15. Joanna Olbryś, 2010. "Three-factor market-timing models with Fama and French’s spread variables," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 20(2), pages 91-106.
    16. Luo, Bing, 2019. "Effects of auditor-provided tax services on book-tax differences and on investors' mispricing of book-tax differences," Advances in accounting, Elsevier, vol. 47(C).
    17. Wolfgang Aussenegg & Andreas Grünbichler, 1999. "Der Size-Effekt am Österreichischen Aktienmarkt," Schmalenbach Journal of Business Research, Springer, vol. 51(7), pages 636-661, July.
    18. Magdalena Mikolajek-Gocejna, 2021. "Estimation, Instability, and Non-Stationarity of Beta Coefficients for Twenty-four Emerging Markets in 2005-2021," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 370-395.
    19. Sudi Sudarsanam & Ashraf A. Mahate, 2003. "Glamour Acquirers, Method of Payment and Post‐acquisition Performance: The UK Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(1‐2), pages 299-342, January.
    20. Paskalis Glabadanidis, 2020. "Portfolio Strategies to Track and Outperform a Benchmark," JRFM, MDPI, vol. 13(8), pages 1-26, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:inm:orijoc:v:33:y:2021:i:1:p:163-179. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Asher (email available below). General contact details of provider: https://edirc.repec.org/data/inforea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.