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Search: subject:"cardinality constraint"
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17
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15
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Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
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1
Enhancing an existing algorithm for small-cardinality constrained portfolio optimisation
Phelps, Nathan
;
Metzler, Adam
- In:
Journal of the Operational Research Society
75
(
2024
)
5
,
pp. 967-981
Persistent link: https://www.econbiz.de/10014555795
Saved in:
2
Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure
Hooshmand, F.
;
Anoushirvani, Z.
;
MirHassani, S. A.
- In:
International transactions in operational research : a …
30
(
2023
)
5
,
pp. 2665-2690
Persistent link: https://www.econbiz.de/10014261204
Saved in:
3
An efficient global optimal method for cardinality constrained portfolio optimization
Xu, Wei
;
Tang, Jie
;
Yiu, Ka Fai Cedric
;
Peng, Jian Wen
- In:
INFORMS journal on computing : JOC ; charting new …
36
(
2024
)
2
,
pp. 690-704
Persistent link: https://www.econbiz.de/10014532319
Saved in:
4
ESG portfolio for TDFs with time-varying higher moments and
cardinality
constraint
Liu, Wenling
;
Jing, Kui
- In:
International transactions in operational research : a …
31
(
2024
)
6
,
pp. 4270-4295
Persistent link: https://www.econbiz.de/10014636308
Saved in:
5
Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua
;
Xu, Fengmin
;
Du, Donglei
;
Meihua, Wang
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708
Saved in:
6
Analysis of risk measures in multiobjective optimization portfolios with
cardinality
constraint
Cardoso, Rodrigo T. N.
;
Barroso, Bruno Cândido
; …
- In:
Revista Brasileira de Finanças : RBFin
17
(
2019
)
3
,
pp. 26-46
Persistent link: https://www.econbiz.de/10012221265
Saved in:
7
An optimal streaming algorithm for submodular maximization with a
cardinality
constraint
Alaluf, Naor
;
Ene, Alina
;
Feldman, Moran
;
Nguyen, Huy L.
; …
- In:
Mathematics of operations research
47
(
2022
)
4
,
pp. 2667-2690
Persistent link: https://www.econbiz.de/10014311348
Saved in:
8
An exact algorithm for small-cardinality constrained portfolio optimisation
Graham, David I.
;
Craven, Matthew J.
- In:
Journal of the Operational Research Society
72
(
2021
)
6
,
pp. 1415-1431
Persistent link: https://www.econbiz.de/10012588895
Saved in:
9
Time-varying mean-variance portfolio selection under transaction costs and
cardinality
constraint
problem via Beetle Antennae Search algorithm (BAS)
Katsikis, Vasilios N.
;
Mourtas, Spyridon D.
; …
- In:
Operations research forum
2
(
2021
)
2
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012499184
Saved in:
10
A surrogate similarity measure for the mean-variance frontier optimisation problem under bound and cardinality constraints
Guijarro Martinez, Francisco
;
Tsinaslanidis, Prodromos E.
- In:
Journal of the Operational Research Society
72
(
2021
)
3
,
pp. 564-579
Persistent link: https://www.econbiz.de/10012500970
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