Lagrangian relaxation procedure for cardinality-constrained portfolio optimization.
Dong X. ShawShucheng LiuLeonid KopmanPublished in: Optim. Methods Softw. (2008)
Keyphrases
- lagrangian relaxation
- portfolio optimization
- integer programming
- lower bound
- portfolio selection
- branch and bound algorithm
- feasible solution
- problems involving
- lower and upper bounds
- linear programming
- dynamic programming
- factor analysis
- robust optimization
- column generation
- np hard
- risk management
- stock market
- stock exchange
- bi objective
- optimization methods
- shortest path
- feature extraction
- tabu search
- upper bound
- multi objective
- optimal solution