An inexact l2-norm penalty method for cardinality constrained portfolio optimization

An inexact l2-norm penalty method for cardinality constrained portfolio optimization

We analyze and solve a single-period portfolio optimization problem with non-convex constraints, which address practical concerns of investment such as the active share weights of sectors and the number of stocks held in a portfolio. We reformulate the problem to simplify the computation and propose...

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Veröffentlicht in:The Engineering economist 2019, Vol.64 (3), p.289-297
Hauptverfasser: Jiang, Tao, Wang, Shuo, Zhang, Ruochen, Qin, Lang, Wu, Jinglian, Wang, Delin, Ahipasaoglu, Selin D.
Format: Artikel
Sprache:eng
Schlagworte:
Constraints
Economic theory
Optimization
Portfolio management
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Beschreibung
Zusammenfassung:We analyze and solve a single-period portfolio optimization problem with non-convex constraints, which address practical concerns of investment such as the active share weights of sectors and the number of stocks held in a portfolio. We reformulate the problem to simplify the computation and propose an inexact l 2 -norm penalty method to solve the problem.
ISSN:0013-791X
1547-2701
DOI:10.1080/0013791X.2019.1636169