Mean--variance portfolio selection problem: Asset reduction via nondominated sorting

Author:

Juszczuk Przemysław,Kaliszewski Ignacy,Miroforidis Janusz,Podkopaev Dmitry

Funder

Narodowe Centrum Nauki

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference23 articles.

1. Multiobjective evolutionary algorithms for complex portfolio optimization problems;Anagnostopoulos;Computational Management Science,2011

2. Kernel search: A new heuristic framework for portfolio selection;Angelelli;Computational Optimization and Applications,2012

3. Bertsimas, D. & Cory-Wright R. (2018) A scalable Algorithm for sparse Portfolio selection.arXiv, 1811.00138.

4. Computational study of a family of mixed-integer quadratic programming problems;Bienstock;Mathematical Programming, Series B,1996

5. In-place algorithms for computing (layers of) maxima;Blunck;Algorithmica,2010

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