Robust investment strategies with discrete asset choice constraints using DC programming

Optimization

Volumn 59, Issue 1, 2010, Pages 45-62

  Gulpinar, Nalan ^a   Le Thi, Hoai An ^b   Moeini, Mahdi ^b  

^a UNIVERSITY OF WARWICK   (United Kingdom)

^b UNIVERSITÉ DE LORRAINE   (France)

Author keywords

DC programming; DCA; Mean variance portfolios; Worst case analysis

Indexed keywords

EID: 76649143113     PISSN: 02331934     EISSN: 10294945     Source Type: Journal    
DOI: 10.1080/02331930903500274     Document Type: Article

References (20)

1. T.J. Chang, N. Meade, J.B. Beasley, and Y.M. Sharaiha, Heuristics for cardinality constrained portfolio optimization, Comput. Oper. Res. 27 (2000), pp. 1271-1302.
2. R.C. Fair, Specification Estimation and Analysis of Macroeconometric Models, Harvard University Press, Cambridge, MA, 1984.
3. N. Gulpinar and B. Rustem, Worst-case optimal robust decisions for multi-period portfolio optimization, Eur. J. Oper. Res. 183 (2007), pp. 981-1000.
4. N. Gulpinar, B. Rustem, and R. Settergren, Simulation and optimisation approaches to scenario generation, J. Econom. Dyn. Control 28 (2004), pp. 1291-1315.
5. N. Gulpinar, B. Rustem, and S. Zakovic, Stochastic optimization and worst-case decisions, in Cooperative Systems Control and Optimization, Lecture Notes in Economics and Mathematical Systems, Vol. 588, D. Grundel, R. Murphey, P. Pardalos, and O. Prokopyev, eds., Springer-Verlag, Berlin, 2007, pp. 317-338.
6. J.E. Harrington, B.F. Hobbs, J.S. Pang, A. Liu, and G. Roch, Collusive game solutions via optimisation, Math. Program. 104 (2005), pp. 407-435.
7. H.A. Le Thi, Contribution à l'optimisation non convexe et l'optimisation globale: Théorie, Algorithmes et Applications, Habilitation à Diriger des Recherches, Université de Rouen, 1997.
8. H.A. Le Thi, Mahdi Moeini, and T. Pham Dinh, DC programming approach for portfolio optimization under step increasing transaction costs, Optimization 58 (2009), pp. 267-289.
9. H.A. Le Thi, Mahdi Moeini, and T. Pham Dinh, Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA, Comput. Manage. Sci. 6 (2009), pp. 477-501.
10. H.A. Le Thi and T. Pham Dinh, A continuous approach for globally solving linearly constrained quadratic zero-one programming problems, Optimization 50 (2001), pp. 93-120.
11. H.A. Le Thi and T. Pham Dinh, The DC (difference of convex functions) programming and DCA revisited with DC models of real world non convex optimization problems, Ann. Oper. Res. 133 (2005), pp. 23-46.
12. H.A. Le Thi, T. Pham Dinh, and V.N. Huynh, Exact penalty techniques in DC programming, Research Report, LMI, National Institute for Applied Sciences, Rouen, France, July, 2005.
13. Y. Liu, X. Shen, and H. Doss, Multicategory Ψ-learning and support vector machine: Computational tools, J. Comput. Graph. Stat. 14 (2005), pp. 219-236.
14. H. Markowitz, Portfolio selection, J. Finance 7 (1952), pp. 77-91.
15. J. Neumann, C. Schnörr, and G. Steidl, Combined SVM-based feature selection and classification, Machine Learn. 61 (2005), pp. 129-150.
16. T. Pham Dinh and H.A. Le Thi, Convex analysis approach to d.c. programming: Theory, algorithms and applications, Acta Math. Vietnam. 22 (1997), pp. 289-355, dedicated to Professor Hoang Tuy on the occasion of his 70th birthday.
17. T. Pham Dinh and H.A. Le Thi, DC optimization algorithms for solving the trust region subproblem, SIAM J. Optim. 8 (1998), pp. 476-505.
18. T. Pham Dinh, N. Nguyen Canh, and H.A. Le Thi, DC programming and DCA for globally solving the value-at-risk, Comput. Manage. Sci. 6 (2009), pp. 459-475.
19. C. Ronan, S. Fabian, W. Jason and B. Léon Trading Convexity for Scalability, Proceedings of the 23rd International Conference on Machine learning, ICML 2006. Pittsburgh, PA, 2006, pp. 201-208, ISBN:1-59593-383-2.
20. S. Weber, C. Schnörr, T. Schüle, and J. Hornegger, Binary tomography by iterating linear programs, in Computational Imaging and Vision - Geometric Properties from Incomplete Data, R. Klette, R. Kozera, L. Noakes, and J. Weickert, Kluwer Academic Publishers, Dordrecht, The Netherlands, 2005.