銘柄数制約を付加した決定係数最大化ポートフォリオ構築問題の効率的解法
Author:
Affiliation:
1. Graduate School of Keio University
2. Keio University
Publisher
The Operations Research Society of Japan
Subject
General Earth and Planetary Sciences,General Environmental Science
Link
https://www.jstage.jst.go.jp/article/torsj/66/0/66_1/_pdf
Reference33 articles.
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2. [2] E. Angelelli, R. Mansini, and G. M. Speranza: A comparison of MAD and CVaR models with real features, Journal of Banking & Finance, 32 (2008), 1188–1197.
3. [3] D. Bertsimas and D. Cory-Wright: A scalable algorithm for sparse portfolio selection, INFORMS Journal on Computing, 34 (2022), 1305–1840.
4. [4] D. Bertsimas and R. Shioda: Algorithms for cardinality-constrained quadratic optimization, Computational Optimization and Applications, 43 (2009), 1–22.
5. [5] M. Branda, M. Bucher, M. Červinka, and A. Schwartz: Convergence of a Scholtestype regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization, Computational Optimization and Applications, 70 (2018), 503–530.
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