Related papers: Cardinality constrained portfolio selection via fa…
A cardinality-constrained portfolio caps the number of stocks to be traded across and within groups or sectors. These limitations arise from real-world scenarios faced by fund managers, who are constrained by transaction costs and client…
We introduce a solution scheme for portfolio optimization problems with cardinality constraints. Typical portfolio optimization problems are extensions of the classical Markowitz mean-variance portfolio optimization model. We solve such…
In this paper we consider a generalization of the Markowitz's Mean-Variance model under linear transaction costs and cardinality constraints. The cardinality constraints are used to limit the number of assets in the optimal portfolio. The…
The cardinality-constrained mean-variance portfolio problem has garnered significant attention within contemporary finance due to its potential for achieving low risk while effectively managing risks and transaction costs. Instead of…
This paper makes the Millennium Prize problem P vs NP operational in quantitative finance by studying cardinality-constrained portfolio selection. Starting from the convex Markowitz mean-variance program with CAPM-based expected returns (Rf…
This paper studies a distributionally robust portfolio optimization model with a cardinality constraint for limiting the number of invested assets. We formulate this model as a mixed-integer semidefinite optimization (MISDO) problem by…
In this work, we demonstrate how to apply non-linear cardinality constraints, important for real-world asset management, to quantum portfolio optimization. This enables us to tackle non-convex portfolio optimization problems using quantum…
The expanding number of assets offers more opportunities for investors but poses new challenges for modern portfolio management (PM). As a central plank of PM, portfolio selection by expected utility maximization (EUM) faces uncontrollable…
We consider general nonlinear programming problems with cardinality constraints. By relaxing the binary variables which appear in the natural mixed-integer programming formulation, we obtain an almost equivalent nonlinear programming…
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), of the Limited Asset Mean…
We consider the problem of selecting a portfolio of assets that provides the investor a suitable balance of expected return and risk. With respect to the seminal mean-variance model of Markowitz, we consider additional constraints on the…
We consider convex constrained optimization problems that also include a cardinality constraint. In general, optimization problems with cardinality constraints are difficult mathematical programs which are usually solved by global…
A lot of problems, from fields like sparse signal processing, statistics, portfolio selection, and machine learning, can be formulated as a cardinality constraint optimization problem. The cardinality constraint gives the problem a discrete…
This paper studies mean-risk portfolio optimization models using the conditional value-at-risk (CVaR) as a risk measure. We also employ a cardinality constraint for limiting the number of invested assets. Solving such a…
The portfolio optimization problem is a critical issue in asset management and has long been studied. Markowitz's mean-variance model has fundamental limitations, such as the assumption of a normal distribution for returns and sensitivity…
In the practical business environment, portfolio managers often face business-driven requirements that limit the number of constituents in their tracking portfolio. A natural index tracking model is thus to minimize a tracking error measure…
The Markowitz-based portfolio selection turns to an NP-hard problem when considering cardinality constraints. In this case, existing exact solutions like quadratic programming may not be efficient to solve the problem. Many researchers,…
A financial portfolio contains assets that offer a return with a certain level of risk. To maximise returns or minimise risk, the portfolio must be optimised - the ideal combination of optimal quantities of assets must be found. The number…
We model the cardinality-constrained portfolio problem using semidefinite matrices and investigate a relaxation using semidefinite programming. Experimental results show that this relaxation generates tight lower bounds and even achieves…
Given a set of assets and an investment capital, the classical portfolio selection problem consists in determining the amount of capital to be invested in each asset in order to build the most profitable portfolio. The portfolio…