Portfolio optimization is one of the most important investment strategies in financial markets.
It is practically desirable for investors, especially high-frequency traders, to consider …

Mathematical programming problems with semi-continuous variables and cardinality
constraint have many applications, including production planning, portfolio selection …

This paper addresses portfolio selection based on neurodynamic optimization. The portfolio
selection problem is formulated as a biconvex optimization problem with a variable weight in …

Over the years, portfolio optimization remains an important decision-making strategy for
investment. The most familiar and widely used approach in the field of portfolio optimization …

We survey optimization problems that involve the cardinality of variable vectors in
constraints or the objective function. We provide a unified viewpoint on the general problem …

The sparse portfolio selection problem is one of the most famous and frequently studied
problems in the optimization and financial economics literatures. In a universe of risky …

In the context of investment decision-making, the selection of stocks is important for a
successful construction of portfolios. In this paper the expected utility, entropy and variance …

Portfolio optimization problem has received a lot of attention from both researchers and
practitioners over the last six decades. This paper provides an overview of the current state …

We introduce a model for portfolio selection with an extendable investment universe where
an agent with mean-variance preferences faces a trade-off between exploiting existing and …

In this paper, we demonstrate a completely new approach for computing cardinality
constrained mean-variance efficient frontiers. By cardinality constrained, it is meant that if …