An Efficient Global Optimal Method for Cardinality Constrained Portfolio Optimization
Author
Abstract
Suggested Citation
DOI: 10.1287/ijoc.2022.0344
Download full text from publisher
References listed on IDEAS
- Dimitris Bertsimas & Romy Shioda, 2009. "Algorithm for cardinality-constrained quadratic optimization," Computational Optimization and Applications, Springer, vol. 43(1), pages 1-22, May.
- 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.
- 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.
- 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.
- Duan Li & Xiaoling Sun & Jun Wang, 2006. "Optimal Lot Solution To Cardinality Constrained Mean–Variance Formulation For Portfolio Selection," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 83-101, January.
- 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.
- 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.
- Pierre Bonami & Miguel A. Lejeune, 2009. "An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems Under Stochastic Constraints," Post-Print hal-00421756, HAL.
- N. J. Jobst & M. D. Horniman & C. A. Lucas & G. Mitra, 2001. "Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 489-501.
- Jianjun Gao & Duan Li, 2013. "Optimal Cardinality Constrained Portfolio Selection," Operations Research, INFORMS, vol. 61(3), pages 745-761, June.
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.- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Chien-Ming Chen & Joe Zhu, 2011. "Efficient Resource Allocation via Efficiency Bootstraps: An Application to R&D Project Budgeting," Operations Research, INFORMS, vol. 59(3), pages 729-741, June.
- 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.
- 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.
- Steuer, Ralph E. & Qi, Yue & Wimmer, Maximilian, 2024. "Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices," European Journal of Operational Research, Elsevier, vol. 313(2), pages 628-636.
- 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.
- Ralph Steuer & Markus Hirschberger & Kalyanmoy Deb, 2016. "Extracting from the relaxed for large-scale semi-continuous variable nondominated frontiers," Journal of Global Optimization, Springer, vol. 64(1), pages 33-48, January.
- Cui, Tianxiang & Du, Nanjiang & Yang, Xiaoying & Ding, Shusheng, 2024. "Multi-period portfolio optimization using a deep reinforcement learning hyper-heuristic approach," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
- Juan Francisco Monge, 2017. "Cardinality constrained portfolio selection via factor models," Papers 1708.02424, arXiv.org.
- 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.
- Jianjun Gao & Duan Li, 2013. "Optimal Cardinality Constrained Portfolio Selection," Operations Research, INFORMS, vol. 61(3), pages 745-761, June.
- 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.
More about this item
Keywords
portfolio selection; cardinality constraint; lower bound analysis; branch and bound method;All these keywords.
Statistics
Access and download statisticsCorrections
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:36:y:2024:i:2:p:690-704. 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.