Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
Year of publication: |
2013
|
---|---|
Authors: | Cui, X. ; Zheng, X. ; Zhu, S. ; Sun, X. |
Published in: |
Journal of Global Optimization. - Springer. - Vol. 56.2013, 4, p. 1409-1423
|
Publisher: |
Springer |
Subject: | Portfolio selection | Cardinality constraint | Mixed 0–1 QCQP reformulation | Second-order cone program | Semidefinite program |
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