Efficient Cardinality/Mean-Variance Portfolios

Author:

Brito R. Pedro,Vicente Luís N.

Publisher

Springer Berlin Heidelberg

Reference26 articles.

1. Anagnostopoulos, K.P., Mamanis, G.: A portfolio optimization model with three objectives and discrete variables. Comput. Oper. Res. 37, 1285–1297 (2010)

2. Anagnostopoulos, K.P., Mamanis, G.: The mean-variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms. Expert Syst. Appl. 38, 14208–14217 (2011)

3. Bach, F., Ahipasaoglu, S.D., d’Aspremont, A.: Convex relaxations for subset selection (2010). ArXiv 1006.3601

4. Benartzi, S., Thaler, R.H.: Naive diversification strategies in defined contribution saving plans. Am. Econ. Rev. 91, 79–98 (2001)

5. Bertsimas, D., Shioda, R.: Algorithm for cardinality-constrained quadratic optimization. Comput. Optim. Appl. 43, 1–22 (2009)

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