Cui, X.; Zheng, X.; Zhu, S.; Sun, X. - In: Journal of Global Optimization 56 (2013) 4, pp. 1409-1423
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...
