An L_1 then L_0 approach to the cardinality constrained mean-variance and mean-CVaR portfolio optimization problems
Cardinality constrained portfolio optimization problems are widely used portfolio optimization models which incorporate restriction on the number of assets in the portfolio. Being mixed-integer programming problems make them NP-hard thus computationally challenging, specially for large number of ass...
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| Main Authors: | , |
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| Format: | Artigo |
| Language: | Inglês |
| Published: |
Allameh Tabataba'i University Press
2024-07-01
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| Series: | Mathematics and Modeling in Finance |
| Subjects: | |
| Online Access: | https://jmmf.atu.ac.ir/article_17299_104cd84069e026a2f5b79731fa7d05b7.pdf |
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