An exact algorithm for small-cardinality constrained portfolio optimisation
نویسندگان
چکیده
منابع مشابه
Cardinality Constrained Portfolio Optimisation
The traditional quadratic programming approach to portfolio optimisation is difficult to implement when there are cardinality constraints. Recent approaches to resolving this have used heuristic algorithms to search for points on the cardinality constrained frontier. However, these can be computationally expensive when the practitioner does not know a priori exactly how many assets they may des...
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ژورنال
عنوان ژورنال: Journal of the Operational Research Society
سال: 2020
ISSN: 0160-5682,1476-9360
DOI: 10.1080/01605682.2020.1718019