Matches in SemOpenAlex for { <https://semopenalex.org/work/W4312221565> ?p ?o ?g. }
Showing items 1 to 92 of
92
with 100 items per page.
- W4312221565 endingPage "100097" @default.
- W4312221565 startingPage "100097" @default.
- W4312221565 abstract "The cardinality constrained mean–variance (CCMV) portfolio selection model aims to identify a subset of the candidate assets such that the constructed portfolio has a guaranteed expected return and minimum variance. By formulating this model as the mixed-integer quadratic program (MIQP), the exact solution can be solved by a branch-and-bound algorithm. However, computational efficiency is the central issue in the time-sensitive portfolio investment due to its NP-hardness properties. To accelerate the solution speeds to CCMV portfolio optimization problems, we develop various heuristic methods based on techniques such as continuous relaxation, l1-norm approximation, integer optimization, and relaxation of semi-definite programming (SDP). We evaluate our heuristic methods by applying them to the US equity market dataset. The experimental results show that our SDP-based method is effective in terms of the computation time and the approximation ratio. Our SDP-based method performs even better than a commercial MIQP solver when the computational time is limited. In addition, several investment companies in China have adopted our methods, gaining good returns. This paper sheds light on the computation optimization for financial investments." @default.
- W4312221565 created "2023-01-04" @default.
- W4312221565 creator A5004437037 @default.
- W4312221565 creator A5027835055 @default.
- W4312221565 creator A5084845441 @default.
- W4312221565 date "2023-03-01" @default.
- W4312221565 modified "2023-10-05" @default.
- W4312221565 title "A comparative study of heuristic methods for cardinality constrained portfolio optimization" @default.
- W4312221565 cites W1976709621 @default.
- W4312221565 cites W1980314087 @default.
- W4312221565 cites W1999830414 @default.
- W4312221565 cites W2036699147 @default.
- W4312221565 cites W2041781650 @default.
- W4312221565 cites W2049967295 @default.
- W4312221565 cites W2063004221 @default.
- W4312221565 cites W2067544512 @default.
- W4312221565 cites W2073103707 @default.
- W4312221565 cites W2087493275 @default.
- W4312221565 cites W2105630053 @default.
- W4312221565 cites W2109092710 @default.
- W4312221565 cites W2127000676 @default.
- W4312221565 cites W2151237529 @default.
- W4312221565 cites W2163969674 @default.
- W4312221565 cites W2165408259 @default.
- W4312221565 cites W2166029977 @default.
- W4312221565 cites W2170569252 @default.
- W4312221565 cites W2753542811 @default.
- W4312221565 cites W2796071106 @default.
- W4312221565 cites W3122931884 @default.
- W4312221565 doi "https://doi.org/10.1016/j.hcc.2022.100097" @default.
- W4312221565 hasPublicationYear "2023" @default.
- W4312221565 type Work @default.
- W4312221565 citedByCount "0" @default.
- W4312221565 crossrefType "journal-article" @default.
- W4312221565 hasAuthorship W4312221565A5004437037 @default.
- W4312221565 hasAuthorship W4312221565A5027835055 @default.
- W4312221565 hasAuthorship W4312221565A5084845441 @default.
- W4312221565 hasBestOaLocation W43122215651 @default.
- W4312221565 hasConcept C10138342 @default.
- W4312221565 hasConcept C11413529 @default.
- W4312221565 hasConcept C124101348 @default.
- W4312221565 hasConcept C126255220 @default.
- W4312221565 hasConcept C15744967 @default.
- W4312221565 hasConcept C162324750 @default.
- W4312221565 hasConcept C173801870 @default.
- W4312221565 hasConcept C202655437 @default.
- W4312221565 hasConcept C2776029896 @default.
- W4312221565 hasConcept C2778770139 @default.
- W4312221565 hasConcept C2780821815 @default.
- W4312221565 hasConcept C33923547 @default.
- W4312221565 hasConcept C41008148 @default.
- W4312221565 hasConcept C45374587 @default.
- W4312221565 hasConcept C77805123 @default.
- W4312221565 hasConcept C81845259 @default.
- W4312221565 hasConcept C87117476 @default.
- W4312221565 hasConceptScore W4312221565C10138342 @default.
- W4312221565 hasConceptScore W4312221565C11413529 @default.
- W4312221565 hasConceptScore W4312221565C124101348 @default.
- W4312221565 hasConceptScore W4312221565C126255220 @default.
- W4312221565 hasConceptScore W4312221565C15744967 @default.
- W4312221565 hasConceptScore W4312221565C162324750 @default.
- W4312221565 hasConceptScore W4312221565C173801870 @default.
- W4312221565 hasConceptScore W4312221565C202655437 @default.
- W4312221565 hasConceptScore W4312221565C2776029896 @default.
- W4312221565 hasConceptScore W4312221565C2778770139 @default.
- W4312221565 hasConceptScore W4312221565C2780821815 @default.
- W4312221565 hasConceptScore W4312221565C33923547 @default.
- W4312221565 hasConceptScore W4312221565C41008148 @default.
- W4312221565 hasConceptScore W4312221565C45374587 @default.
- W4312221565 hasConceptScore W4312221565C77805123 @default.
- W4312221565 hasConceptScore W4312221565C81845259 @default.
- W4312221565 hasConceptScore W4312221565C87117476 @default.
- W4312221565 hasIssue "1" @default.
- W4312221565 hasLocation W43122215651 @default.
- W4312221565 hasOpenAccess W4312221565 @default.
- W4312221565 hasPrimaryLocation W43122215651 @default.
- W4312221565 hasRelatedWork W2124216144 @default.
- W4312221565 hasRelatedWork W2157745706 @default.
- W4312221565 hasRelatedWork W2162097421 @default.
- W4312221565 hasRelatedWork W2592957206 @default.
- W4312221565 hasRelatedWork W2773117586 @default.
- W4312221565 hasRelatedWork W2904628223 @default.
- W4312221565 hasRelatedWork W3125007312 @default.
- W4312221565 hasRelatedWork W4312221565 @default.
- W4312221565 hasRelatedWork W4323266902 @default.
- W4312221565 hasRelatedWork W4385445232 @default.
- W4312221565 hasVolume "3" @default.
- W4312221565 isParatext "false" @default.
- W4312221565 isRetracted "false" @default.
- W4312221565 workType "article" @default.