A local relaxation method for the cardinality constrained portfolio optimization problem

Author： Murray Walter  

Publisher： Springer Publishing Company

ISSN： 0926-6003

Source： Computational Optimization and Applications, Vol.53, Iss.3, 2012-12, pp. : 681-709

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Lagrangian relaxation procedure for cardinality-constrained portfolio optimization

By Shaw Dong   Liu Shucheng   Kopman Leonid  

Optimization Methods and Software, Vol. 23, Iss. 3, 2008-06 ,pp. : 411-420

Taylor & Francis Ltd

Access to resources Recommend Favorite

Algorithm for cardinality-constrained quadratic optimization

By Bertsimas Dimitris   Shioda Romy  

Computational Optimization and Applications, Vol. 43, Iss. 1, 2009-05 ,pp. : 1-22

Springer Publishing Company

Access to resources Recommend Favorite

Polyhedral combinatorics of the cardinality constrained quadratic knapsack problem and the quadratic selective travelling salesman problem

By Mak Vicky   Thomadsen Tommy  

Journal of Combinatorial Optimization, Vol. 11, Iss. 4, 2006-06 ,pp. : 421-434

Springer Publishing Company

Access to resources Recommend Favorite

A SQP Method for Inequality Constrained Optimization

By Zhang Ju-liang   Zhang Xiang-sun  

Acta Mathematicae Applicatae Sinica, Vol. 18, Iss. 1, 2002-03 ,pp. : 77-84

Springer Publishing Company

Access to resources Recommend Favorite

Stability of Merton's portfolio optimization problem for Lévy models

By Benth Fred Espen   Schmeck Maren Diane  

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 85, Iss. 5, 2013-10 ,pp. : 833-858

Taylor & Francis Ltd

Access to resources Recommend Favorite