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A Sparse Enhanced Indexation Model with L 1/2 Norm and Its Alternating Quadratic Penalty Method

Zhao, Zhihua; Xu, Fengmin; Wang, Meihua; Zhang, Cheng-yi - 2021

Optimal investment strategies for enhanced indexation problems have attracted considerable attentions over the last decades in the field of fund management. In this paper, a featured difference from the existing literature is that our main concern of the investigation is the development of a...

Persistent link: https://www.econbiz.de/10013239811

A mixed 0-1 LP for index tracking problem with CVaR risk constraints

Wang, Meihua; Xu, Chengxian; Xu, Fengmin; Xue, Hongang - 2012

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A bi-level programming framework for identifying optimal parameters in portfolio selection

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A sparse enhanced indexation model with l 1/2 norm and its alternating quadratic penalty method

Zhao, Zhihua; Xu, Fengmin; Wang, Meihua; Zhang, Cheng-yi - In: Journal of the Operational Research Society 70 (2019) 3, pp. 433-445

Persistent link: https://www.econbiz.de/10012212406

CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints

Zhao, Zhihua; Wang, Hao; Yang, Xiangyu; Xu, Fengmin - In: Applied economics letters 28 (2021) 3, pp. 201-207

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Robust portfolio rebalancing with cardinality and diversification constraints

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Robust enhanced indexation with ESG : an empirical study in the Chinese Stock Market

Li, Xuepeng; Xu, Fengmin; Jing, Kui - In: Economic modelling 107 (2022), pp. 1-18

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Group sparse enhanced indexation model with adaptive beta value

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Robust enhanced indexation optimization with sparse industry layout constraint

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Persistent link: https://www.econbiz.de/10014557812

New insights and augmented Lagrangian algorithm for optimal portfolio liquidation with market impact

Xu, Fengmin; Li, Xuepeng; Dai, Yu-Hong; Meihua, Wang - In: International transactions in operational research : a … 30 (2023) 5, pp. 2640-2664

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