Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization.
Ken KobayashiYuichi TakanoKazuhide NakataPublished in: J. Glob. Optim. (2021)
Keyphrases
- portfolio optimization
- cutting plane algorithm
- bi objective
- portfolio selection
- integer programming
- robust optimization
- cutting plane
- risk measures
- linear programming
- maximum margin
- routing problem
- portfolio management
- problems involving
- stock market
- factor analysis
- risk management
- multi objective
- efficient solutions
- optimization methods
- stock price
- multiple objectives
- stock exchange
- network flow
- semidefinite programming
- mathematical programming
- ant colony optimization
- np hard