A cardinality-constrained portfolio caps the number of stocks to be traded across and within groups or sectors. These limitations arise from real-world scenarios faced by fund managers, who are constrained by transaction costs and client preferences as they seek to maximize return and limit...

An optimization approach is proposed to construct sparse portfolios with mean-reverting price behaviors. Our objectives are threefold: (i) design a multi-asset long-short portfolio that best fits an Ornstein-Uhlenbeck process in terms of maximum likelihood, (ii) select portfolios with desirable...

We study an optimization-based approach to construct a mean-reverting portfolio of assets. Our objectives are threefold: (1) design a portfolio that is well-represented by an Ornstein-Uhlenbeck process with parameters estimated by maximum likelihood, (2) select portfolios with desirable...

<Para ID="Par1">We describe the most recent evolution of our constrained and unconstrained testing environment and its accompanying SIF decoder. Code-named <Emphasis FontCategory="SansSerif">SIFDecode and <Emphasis FontCategory="SansSerif">CUTEst, these updated versions feature dynamic memory allocation, a modern thread-safe Fortran modular design, a new Matlab interface and a...</emphasis></emphasis></para>