Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems

In this paper we investigate a class of cardinality-constrained portfolio selection problems. We construct convex relaxations for this class of optimization problems via a new Lagrangian decomposition scheme. We show that the dual problem can be reduced to a second-order cone program problem which i...

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Veröffentlicht in:	Journal of global optimization Jg. 56; H. 4; S. 1409 - 1423
Hauptverfasser:	Cui, X. T., Zheng, X. J., Zhu, S. S., Sun, X. L.
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Boston Springer US 01.08.2013 Springer Springer Nature B.V
Schlagworte:	Analysis Computation Computer Science Decomposition Expected values Investment analysis Linear programming Mathematics Mathematics and Statistics Operations Research/Decision Theory Optimization Portfolio management Real Functions Semidefinite programming Studies Mixed 0–1 QCQP reformulation Second-order cone program Semidefinite program Portfolio selection Cardinality constraint
ISSN:	0925-5001, 1573-2916
Online-Zugang:	Volltext
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