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Optimal portfolios with a restriction on the number of assets, also referred to as cardinality-constrained portfolios, have been receiving attention in the literature due to its popularity among market practitioners and retail investors. In most cases, however, the interest is in proposing...
Persistent link: https://www.econbiz.de/10011865381
Index tracking aims at replicating a given benchmark with a smaller number of its constituents. Different quantitative models cam be set up to determine the optimal index replicating portfolio.In this paper, we propose an alternative based on imposing a constraint on the q-norm, 0 q 1, of the...
Persistent link: https://www.econbiz.de/10010968918
Optimal portfolios with a restriction on the number of assets, also referred to as cardinality-constrained portfolios, have been receiving attention in the literature due to its popularity among market practitioners and retail investors. In most cases, however, the interest is in proposing...
Persistent link: https://www.econbiz.de/10011858425
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In this paper we investigate a class of cardinality-constrained portfolio selection problems. We construct convex relaxations for this class of optimization problems via a new Lagrangian decomposition scheme. We show that the dual problem can be reduced to a second-order cone program problem...
Persistent link: https://www.econbiz.de/10010896430