A new method for mean-variance portfolio optimization with cardinality constraints

Francesco Cesarone; Andrea Scozzari; Fabio Tardella

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A new method for mean-variance portfolio optimization with cardinality constraints

機(jī)譯：具有基數(shù)約束的均值方差投資組合優(yōu)化的新方法

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Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. We present here a study of the Limited Asset Markowitz (LAM) model, where the assets are limited with the introduction of quantity and cardinality constraints.

機(jī)譯：幾種投資組合選擇模型考慮了對(duì)要包含的資產(chǎn)數(shù)量及其在投資組合中權(quán)重的實(shí)際限制。我們?cè)谶@里介紹有限資產(chǎn)Markowitz（LAM）模型的研究，其中資產(chǎn)受到數(shù)量和基數(shù)約束的限制。

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《Annals of Operations Research》 |2013年第1期|213-234|共22頁(yè)
作者
Francesco Cesarone; Andrea Scozzari; Fabio Tardella;
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Dipartimento di Economia Università degli Studi Roma Tre">(1);

Facoltà di Economia Università degli Studi “Niccolò Cusano”">(2);

Dipartimento di Metodi e Modelli per l’Economia il Territorio e la Finanza Sapienza Università di Roma">(3);

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正文語(yǔ)種 eng
中圖分類
關(guān)鍵詞
Portfolio management; Mixed integer quadratic programming; Standard quadratic optimization; Cardinality constraints;

機(jī)譯：投資組合管理;混合整數(shù)二次規(guī)劃;標(biāo)準(zhǔn)二次優(yōu)化;基數(shù)約束;

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1. A new method for mean-variance portfolio optimization with cardinality constraints [J] . Francesco Cesarone, Andrea Scozzari, Fabio Tardella Annals of Operations Research . 2013,第may期

機(jī)譯：具有基數(shù)約束的均值方差投資組合優(yōu)化的新方法
2. Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint [J] . NebojsaBacanin, MilanTuba ScientificWorldJournal . 2014,第3期

機(jī)譯：基數(shù)的螢火蟲算法約束熵分集約束的平均綱組合優(yōu)化問(wèn)題
3. The mean-variance cardinality constrained portfolio optimization problem using a local search-based multi-objective evolutionary algorithm [J] . Chen Bili, Lin Yangbin, Zeng Wenhua, Applied Intelligence: The International Journal of Artificial Intelligence, Neural Networks, and Complex Problem-Solving Technologies . 2017,第2期

機(jī)譯：使用基于本地搜索的多目標(biāo)進(jìn)化算法的平均差異基數(shù)受限約束產(chǎn)品組合優(yōu)化問(wèn)題
4. Tight Upper Bounds on the Cardinality Constrained Mean-Variance Portfolio Optimization Problem Using Truncated Eigendecomposition [C] . Fred Mayambala, Elina R?nnberg, Torbj?rn Larsson International Conference of the German Operations Research . 2016

機(jī)譯：基數(shù)的緊密上限約束了使用截?cái)嗟耐怀龅慕財(cái)喾纸獾钠骄讲罱M合優(yōu)化問(wèn)題
5. Convex duality in constrained mean-variance portfolio optimization under a regime-switching model. [D] . Donnelly, Catherine. 2009

機(jī)譯：在體制轉(zhuǎn)換模型下約束均值-方差投資組合優(yōu)化中的凸對(duì)偶性。
6. Firefly Algorithm for Cardinality Constrained Mean-Variance Portfolio Optimization Problem with Entropy Diversity Constraint [O] . Nebojsa Bacanin, Milan Tuba -1

機(jī)譯：具有熵多樣性約束的基數(shù)約束均值方差投資組合優(yōu)化問(wèn)題的螢火蟲算法
7. Mean-Variance Portfolio Optimization : Eigendecomposition-Based Methods [O] . Mayambala, Fred 2015

機(jī)譯：均值方差投資組合優(yōu)化：基于特征分解的方法

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A new method for mean-variance portfolio optimization with cardinality constraints

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