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

IF 1 4区经济学 Q4 BUSINESS

Engineering Economist Pub Date : 2019-07-03 DOI:10.1080/0013791X.2019.1636169

T. Jiang, Shuo Wang, Ruochen Zhang, Lang Qin, Jinglian Wu, Delin Wang, S. Ahipaşaoğlu

引用次数: 2

Abstract

Abstract 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 l2-norm penalty method to solve the problem.

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基数约束投资组合优化的一种不精确l2范数惩罚方法

摘要我们分析并求解了一个具有非凸约束的单周期投资组合优化问题，该问题解决了投资中的实际问题，如行业的活跃股票权重和投资组合中持有的股票数量。我们重新表述了这个问题以简化计算，并提出了一种不精确的l2范数惩罚方法来解决这个问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Engineering Economist ENGINEERING, INDUSTRIAL-OPERATIONS RESEARCH & MANAGEMENT SCIENCE

CiteScore

2.00

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The Engineering Economist is a refereed journal published jointly by the Engineering Economy Division of the American Society of Engineering Education (ASEE) and the Institute of Industrial and Systems Engineers (IISE). The journal publishes articles, case studies, surveys, and book and software reviews that represent original research, current practice, and teaching involving problems of capital investment. The journal seeks submissions in a number of areas, including, but not limited to: capital investment analysis, financial risk management, cost estimation and accounting, cost of capital, design economics, economic decision analysis, engineering economy education, research and development, and the analysis of public policy when it is relevant to the economic investment decisions made by engineers and technology managers.