Quadratic programming for portfolio planning: Insights into algorithmic and computational issues
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DOI: 10.1057/palgrave.jam.2250075
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- 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).
- 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.
- Panos Xidonas & Christis Hassapis & George Mavrotas & Christos Staikouras & Constantin Zopounidis, 2018.
"Multiobjective portfolio optimization: bridging mathematical theory with asset management practice,"
Annals of Operations Research, Springer, vol. 267(1), pages 585-606, August.
- Panos Xidonas & Christis Hassapis & George Mavrotas & Christos Staikouras & Constantin Zopounidis, 2016. "Multiobjective portfolio optimization: bridging mathematical theory with asset management practice," Post-Print hal-02879921, HAL.
- 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.
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Keywords
mean–variance model; threshold constraints; cardinality constraints; quadratic programming; simplex method; interior point method; portfolio planning; factor model;All these keywords.
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