JOURNAL ARTICLE
Cardinality-constrained distributionally robust portfolio optimization
Ken KobayashiYuichi TakanoKazuhide Nakata
Year: 2023 Journal: European Journal of Operational Research Vol: 309 (3)Pages: 1173-1182 Publisher: Elsevier BV
Keywords:
Robust optimization Mathematical optimization Portfolio optimization Solver Optimization problem Cutting-plane method Cardinality (data modeling) Computer science Portfolio Mathematics Integer programming
Metrics
11
Cited By
3.56
FWCI (Field Weighted Citation Impact)
67
Refs
0.91
Citation Normalized Percentile
Is in top 1%
Is in top 10%
Citation History
Topics
Risk and Portfolio Optimization
Social Sciences → Decision Sciences → Management Science and Operations Research
Stochastic processes and financial applications
Social Sciences → Economics, Econometrics and Finance → Finance
Reservoir Engineering and Simulation Methods
Physical Sciences → Engineering → Ocean Engineering
Related Documents
JOURNAL ARTICLE
Distributionally Robust Mean-CVaR Portfolio Optimization with Cardinality Constraint
Shuang WangLi-Ping PangShuai WangHongwei Zhang
Journal: Journal of the Operations Research Society of China Year: 2023
JOURNAL ARTICLE
Robust optimization framework for cardinality constrained portfolio problem
Seyed Jafar SadjadiMohsen GharakhaniEhram Safari
Journal: Applied Soft Computing Year: 2011 Vol: 12 (1)Pages: 91-99
JOURNAL ARTICLE
Distributionally Robust Portfolio Optimization
I. E. BardakciConstantino Lagoa
Year: 2019 Vol: 2019 Pages: 1526-1531
BOOK-CHAPTER
Neurodynamic Approaches to Cardinality-Constrained Portfolio Optimization
Intelligent systems reference library Year: 2024 Pages: 69-96
JOURNAL ARTICLE
On cardinality constrained mean-CVaR portfolio optimization
Year: 2015 Vol: 7 Pages: 1074-1079