Optimal Cardinality Constrained Portfolio Selection
Published Online:1 Jun 2013https://doi.org/10.1287/opre.2013.1170
References
- . Algorithm for cardinality-constrained quadratic optimization. Comput. Optim. Appl. (2009) 43(1):1–22Crossref, Google Scholar
- . Computational study of family of mixed-integer quadratic programming problems. Math. Programming (1996) 74(2):121–124Crossref, Google Scholar
- . The optimal selection of small portfolios. Management Sci. (1983) 29(7):792–798Link, Google Scholar
- . An exact solution approach for portfolio optimization problems under stochastic and integer constraints. Oper. Res. (2009) 57(3):650–670Link, Google Scholar
- . Heuristics for cardinality constrained portfolio optimization. Comput. Oper. Res. (2000) 27(13):1271–1302Crossref, Google Scholar
- . Asset and liability management under a continuous-time mean-variance optimization framework. Insurance Math. Econom. (2006) 39(3):330–355Crossref, Google Scholar
- . Robust portfolio selection using linear matrix inequality. J. Econom. Dynam. Control (2002) 26(6):889–909Crossref, Google Scholar
- . Portfolio selection with robust estimation. Oper. Res. (2009) 57(3):560–577Link, Google Scholar
- . Optimal versus naive diversification: How inefficient is the 1/N portfolio strategy? Rev. Financial Stud. (2007) 22(5):1915–1953Crossref, Google Scholar
- . Cardinality constrained linear-quadratic optimal control. IEEE Trans. Automat. Control (2011) 56(8):1936–1941Crossref, Google Scholar
- . A polynomial case of cardinality constrained quadratic optimization. J. Global Optim. (2013) . ForthcomingCrossref, Google Scholar
- . Robust portfolio selection problems. Math. Oper. Res. (2003) 28(1):1–38Link, Google Scholar
- . MINLP strengthening for separable convex quadratic transportation-cost UFL. (2007) . IBM Research Report RC24213, IBM Research Division, T. J. Watson Research Center, Yorktown Heights, NYGoogle Scholar
- IBMUser's Manual for CPLEX (2011) . IBM ILOG CPLEX 12.3. http://pic.dhe.ibm.com/infocenter/cosinfoc/v12r3/index.jspGoogle Scholar
- . Risk reduction in large portfolios: Why imposing the wrong constraints helps. J. Finance (2003) 58(4):1651–1684Crossref, Google Scholar
- . Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. J. Empirical Finance (2003) 10(5):603–621Crossref, Google Scholar
- . Optimal dynamic portfolio selection: Multiperiod mean-variance formulation. Math. Finance (2000) 10(3):387–406Crossref, Google Scholar
- . Nonlinear Integer Programming (2006) (Springer, Boston) Google Scholar
- . Optimal lot solution to cardinality constrained mean-variance formulation for portfolio selection. Math. Finance (2006) 16(1):83–101Crossref, Google Scholar
- . Portfolio selection. J. Finance (1952) 7(1):77–91Google Scholar
- . Portfolio Selection: Efficient Diversification of Investment (1959) (John Wiley & Sons, New York) Google Scholar
- MOSEKMOSEK User Manual (2012) (Optimization Software, Copenhagen) Google Scholar
- . Minimizing the sum of the k largest functions in linear time. Inform. Process. Lett. (2003) 85(3):117–122Crossref, Google Scholar
- . Investors and Markets: Portfolio Choice, Asset Prices, and Investment Advice (2007) (Princeton University Press, Princeton, NJ) Google Scholar
- . Lagrangian relaxation procedure for cardinality-constrained portfolio optimization. Optim. Methods Software (2008) 23(3):411–420Crossref, Google Scholar
- . Semidefinite programming. SIAM Rev. (1996) 38(1):49–95Crossref, Google Scholar
- . Randomized portfolio selection with constraints. Pacific J. Optim. (2008) 4:89–112Google Scholar
- . Implementation and evaluation of SDPA 6.0 (semidefinite programming algorithm 6.0.). Optim. Methods Software (2003) 18(4):491–505Crossref, Google Scholar
- . Continuous-time mean-variance portfolio selection: A stochastic LQ framework. Appl. Math. Optim. (2000) 42(1):19–33Crossref, Google Scholar

