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Journal of the Operational Research Society Volume 69, 2018 - Issue 6
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Articles

A similarity measure for the cardinality constrained frontier in the mean–variance optimization modelFootnote

Francisco GuijarroInstitutde Matemàtica Purai Aplicada, Universitat Politècnicade València, Valencia, SpainCorrespondence[email protected]
ORCID Iconhttp://orcid.org/0000-0002-8803-5165
ORCID Icon
Pages 928-945 | Received 04 Oct 2016, Accepted 28 Jun 2017, Published online: 12 Jan 2018

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Read on this site (3)

Zhongyi Jiang, Baiyi Wu, Qiying Hu & Xiaojin Zheng. (2022) Cardinality-constrained programs with nonnegative variables and an SCA method. Journal of the Operational Research Society 73:3, pages 634-652.
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Yong-Jun Liu & Wei-Guo Zhang. (2021) Fuzzy multi-period portfolio selection model with time-varying loss aversion. Journal of the Operational Research Society 72:4, pages 935-949.
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Francisco Guijarro & Prodromos E. Tsinaslanidis. (2021) A surrogate similarity measure for the mean-variance frontier optimisation problem under bound and cardinality constraints. Journal of the Operational Research Society 72:3, pages 564-579.
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Articles from other publishers (7)

Prodromos Tsinaslanidis & Francisco Guijarro. (2020) What makes trading strategies based on chart pattern recognition profitable?. Expert Systems 38:5.
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Xiaoxia Huang, Guowei Jiang, Pankaj Gupta & Mukesh Kumar Mehlawat. (2021) A risk index model for uncertain portfolio selection with background risk. Computers & Operations Research 132, pages 105331.
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Ameer Tamoor Khan, Xinwei Cao, Shuai Li, Bin Hu & Vasilios N. Katsikis. (2021) Quantum beetle antennae search: a novel technique for the constrained portfolio optimization problem. Science China Information Sciences 64:5.
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Liwen Wang, Hecheng Wu, Gang Li & Weixue Lu. (2020) An Improved MV Method for Stock Allocation Based on the State-Space Measure of Cognitive Bias with a Hybrid Algorithm. Symmetry 12:6, pages 1036.
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Liurui Deng & Traian A. Pirvu. (2019) Multi-Period Investment Strategies under Cumulative Prospect Theory. Journal of Risk and Financial Management 12:2, pages 83.
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I. Bavarsad Salehpoor & S. Molla-Alizadeh-Zavardehi. (2019) A constrained portfolio selection model at considering risk-adjusted measure by using hybrid meta-heuristic algorithms. Applied Soft Computing 75, pages 233-253.
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Fernando García, Francisco Guijarro, Javier Oliver & Rima Tamošiūnienė. (2018) HYBRID FUZZY NEURAL NETWORK TO PREDICT PRICE DIRECTION IN THE GERMAN DAX-30 INDEX. Technological and Economic Development of Economy 24:6, pages 2161-2178.
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