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The Engineering Economist
A Journal Devoted to the Problems of Capital Investment
Volume 64, 2019 - Issue 3: Special Issue on Nonconvex Portfolio Optimization; Guest Editor: Dessislava Pachamanova and Saurabh Bansal
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Technical Notes

An inexact l2-norm penalty method for cardinality constrained portfolio optimization

Tao JiangEngineering Systems and Design, Singapore University of Technology and Design, Singapore, Singapore; Correspondence[email protected]
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,
Shuo WangEngineering Systems and Design, Singapore University of Technology and Design, Singapore, Singapore; View further author information
,
Ruochen ZhangInformation Systems Technology and Design, Singapore University of Technology and Design, Singapore, SingaporeView further author information
,
Lang QinEngineering Systems and Design, Singapore University of Technology and Design, Singapore, Singapore; View further author information
,
Jinglian WuInformation Systems Technology and Design, Singapore University of Technology and Design, Singapore, SingaporeView further author information
,
Delin WangEngineering Systems and Design, Singapore University of Technology and Design, Singapore, Singapore; View further author information
&
Selin D. AhipasaogluEngineering Systems and Design, Singapore University of Technology and Design, Singapore, Singapore; View further author information
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Pages 289-297 | Published online: 19 Jul 2019
 
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Abstract

We analyze and solve a single-period portfolio optimization problem with non-convex constraints, which address practical concerns of investment such as the active share weights of sectors and the number of stocks held in a portfolio. We reformulate the problem to simplify the computation and propose an inexact l2-norm penalty method to solve the problem.

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Notes on contributors

Tao Jiang

Tao Jiang, Department of Combinatorics & Optimization, University of Waterloo, Waterloo, Canada.

Shuo Wang

Shuo Wang, Department of Analytics and Operations, NUS Business School, National University of Singapore, Singapore, Singapore.

Ruochen Zhang

Ruochen Zhang, Department of Computer Science, Brown University, Providence, RI, USA.

Lang Qin

Lang Qin, Machine Learning, Biomind, Beijing, China.

Jinglian Wu

Jinglian Wu, Security Technology and Response Division, Symantec Corporation, Singapore, Singapore.

Delin Wang

Delin Wang, Integrated Supply and Trading, BP Singapore Pte Limited, Singapore, Singapore.

Selin D. Ahipasaoglu

Selin D. Ahipasaoglu, Engineering Systems and Design, Singapore University of Technology and Design, Singapore, Singapore

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