Lagrangian relaxation procedure for cardinality-constrained portfolio optimization

Optimization Methods and Software

Volumn 23, Issue 3, 2008, Pages 411-420

  Shaw, Dong X ^a   Liu, Shucheng ^b   Kopman, Leonid ^b  

^a Paradigm Asset Management   (United States)

^b MSCI Barra Inc   (United States)

Author keywords

Integer programming; Investment analysis; Quadratic programming

Indexed keywords

ADMINISTRATIVE DATA PROCESSING; FINANCIAL DATA PROCESSING; FUNCTION EVALUATION; LAGRANGE MULTIPLIERS; MATHEMATICAL PROGRAMMING; NONLINEAR PROGRAMMING; NUMERICAL ANALYSIS; QUADRATIC PROGRAMMING; UNITS OF MEASUREMENT;

APPLIED (CO); CARDINALITY; CARDINALITY CONSTRAINTS; COMPUTATIONAL RESULTS; CONSTRAINED QUADRATIC PROGRAMMING; LA-GRANGIAN RELAXATION (LR); LAGRANGIAN RELAXATION METHOD (LR); OBJECTIVE FUNCTION (OF); PORTFOLIO OPTIMIZATION; REAL DATA; SPECIAL STRUCTURE; TO MANY;

CONSTRAINED OPTIMIZATION;

EID: 46349103018     PISSN: 10556788     EISSN: 10294937     Source Type: Journal    
DOI: 10.1080/10556780701722542     Document Type: Article

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