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

Man-Fai LeungJun Wang

Intelligent systems reference library Year: 2024 Pages: 69-96
© 2026 ScienceGate Book Chapters — All rights reserved.