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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References

Fourer, R., Gay, D.M., and Kernighan, B.W. (2009). AMPL: a modeling language for mathematical programming. Belmont, CA: Brooks/Cole.
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Yoshimoto, A. (1996). The mean-variance approach to portfolio optimization subject to transaction costs. Journal of the Operations Research Society of Japan, 39(1), 99–117. doi:10.15807/jorsj.39.99
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An inexact l₂-norm penalty method for cardinality constrained portfolio optimization

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

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