Robust optimization framework for cardinality constrained portfolio problem-Reference-Cited by-同舟云学术

Robust optimization framework for cardinality constrained portfolio problem

Published:2012-01 Issue:1 Volume:12 Page:91-99
ISSN:1568-4946
Container-title:Applied Soft Computing
language:en
Short-container-title:Applied Soft Computing

Author:

Sadjadi Seyed Jafar,Gharakhani Mohsen,Safari Ehram

Publisher

Elsevier BV

Subject

Software

Reference37 articles.

1. Portfolio selection;Markowitz;Journal of Finance,1952

2. Portfolio Selection: Efficient Diversification of Investments;Markowitz,1959

3. Portfolio Selection;Markowitz,1991

4. Efficient Asset Management: A practical Guide to Stock Portfolio Management and Asset Allocation, Financial Management Association Survey and Synthesis;Michaud,1998

5. The effect of errors in means, variance and covariance on optimal portfolio choice;Chopra;Journal of Portfolio Management,1993

Cited by 34 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Robust Portfolio Mean-Variance Optimization for Capital Allocation in Stock Investment Using the Genetic Algorithm: A Systematic Literature Review;Computation;2024-08-18

2. Robust, extended goal programming with uncertainty sets: an application to a multi-objective portfolio selection problem leveraging DEA;Annals of Operations Research;2024-05-21

3. Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices;European Journal of Operational Research;2024-03

4. Credibilistic Multi-Period Mean-Entropy Rolling Portfolio Optimization Problem Based on Multi-Stage Scenario Tree;Mathematics;2023-09-12

5. Construction of stock portfolios based on k-means clustering of continuous trend features;Knowledge-Based Systems;2022-09