IDEAS home Printed from https://ideas.repec.org/a/spr/comgts/v6y2009i3p329-345.html
   My bibliography  Save this article

A global optimization problem in portfolio selection

Author

Listed:
  • M. Bartholomew-Biggs
  • S. Kane

Abstract

No abstract is available for this item.

Suggested Citation

  • M. Bartholomew-Biggs & S. Kane, 2009. "A global optimization problem in portfolio selection," Computational Management Science, Springer, vol. 6(3), pages 329-345, August.
    • Handle: RePEc:spr:comgts:v:6:y:2009:i:3:p:329-345
    DOI: 10.1007/s10287-006-0038-4
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10287-006-0038-4
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10287-006-0038-4?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
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Bartholomew-Biggs, M. C. & Parkhurst, S. C. & Wilson, S. P., 2003. "Global optimization approaches to an aircraft routing problem," European Journal of Operational Research, Elsevier, vol. 146(2), pages 417-431, April.
    2. 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.
    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. Wendy Wijaya & Kuntjoro Adji Sidarto, 2023. "Large-Scale Portfolio Optimization Using Biogeography-Based Optimization," IJFS, MDPI, vol. 11(4), pages 1-16, October.
    2. 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.
    3. Buu-Chau Truong & Nguyen Van Thuan & Nguyen Huu Hau & Michael McAleer, 2019. "Applications of the Newton-Raphson Method in Decision Sciences and Education," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 52-80, December.
    4. 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.

    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. Briec, Walter & Kerstens, Kristiaan, 2009. "Multi-horizon Markowitz portfolio performance appraisals: A general approach," Omega, Elsevier, vol. 37(1), pages 50-62, February.
    2. Chen, Wei & Zhang, Wei-Guo, 2010. "The admissible portfolio selection problem with transaction costs and an improved PSO algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(10), pages 2070-2076.
    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. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Management Science, INFORMS, vol. 53(1), pages 135-149, January.
    5. Derigs, Ulrich & Marzban, Shehab, 2009. "New strategies and a new paradigm for Shariah-compliant portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1166-1176, June.
    6. Jobst, Norbert J. & Mitra, Gautam & Zenios, Stavros A., 2006. "Integrating market and credit risk: A simulation and optimisation perspective," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 717-742, February.
    7. 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.
    8. Liu, Wenbin & Zhou, Zhongbao & Liu, Debin & Xiao, Helu, 2015. "Estimation of portfolio efficiency via DEA," Omega, Elsevier, vol. 52(C), pages 107-118.
    9. Gautam Mitra & Frank Ellison & Alan Scowcroft, 2007. "Quadratic programming for portfolio planning: Insights into algorithmic and computational issues Part II — Processing of portfolio planning models with discrete constraints," Journal of Asset Management, Palgrave Macmillan, vol. 8(4), pages 249-258, November.
    10. Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
    11. Hemant Jalota & Manoj Thakur, 2018. "Genetic algorithm designed for solving portfolio optimization problems subjected to cardinality constraint," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 9(1), pages 294-305, February.
    12. Hoai An Le Thi & Mahdi Moeini, 2014. "Long-Short Portfolio Optimization Under Cardinality Constraints by Difference of Convex Functions Algorithm," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 199-224, April.
    13. Andrea Scozzari & Fabio Tardella & Sandra Paterlini & Thiemo Krink, 2013. "Exact and heuristic approaches for the index tracking problem with UCITS constraints," Annals of Operations Research, Springer, vol. 205(1), pages 235-250, May.
    14. Nalan Gülpınar & Kabir Katata & Dessislava A Pachamanova, 2011. "Robust portfolio allocation under discrete asset choice constraints," Journal of Asset Management, Palgrave Macmillan, vol. 12(1), pages 67-83, April.
    15. 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.
    16. E. Grizickas Sapkute & M. A. Sánchez-Granero & M. N. López García & J. E. Trinidad Segovia, 2022. "The impact of regulation-based constraints on portfolio selection: The Spanish case," Palgrave Communications, Palgrave Macmillan, vol. 9(1), pages 1-14, December.
    17. Madani Bezoui & Mustapha Moulaï & Ahcène Bounceur & Reinhardt Euler, 2019. "An iterative method for solving a bi-objective constrained portfolio optimization problem," Computational Optimization and Applications, Springer, vol. 72(2), pages 479-498, March.
    18. 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.
    19. Jan Jurczyk & Alexander Eckrot & Ingo Morgenstern, 2016. "Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model," PLOS ONE, Public Library of Science, vol. 11(6), pages 1-12, June.
    20. Yucheng Kao & Hsiu-Tzu Cheng, 2013. "Bacterial Foraging Optimization Approach to Portfolio Optimization," Computational Economics, Springer;Society for Computational Economics, vol. 42(4), pages 453-470, December.

    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:spr:comgts:v:6:y:2009:i:3:p:329-345. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    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.