Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
Published 2018 View Full Article
- Home
- Publications
- Publication Search
- Publication Details
Title
Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
Authors
Keywords
Cardinality constraints, Regularization method, Scholtes regularization, Strong stationarity, Sparse portfolio optimization, Robust portfolio optimization
Journal
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
Volume 70, Issue 2, Pages 503-530
Publisher
Springer Nature
Online
2018-02-22
DOI
10.1007/s10589-018-9985-2
References
Ask authors/readers for more resources
Related references
Note: Only part of the references are listed.- Nonlinear Chance Constrained Problems: Optimality Conditions, Regularization and Solvers
- (2016) Lukáš Adam et al. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
- Constraint qualifications and optimality conditions for optimization problems with cardinality constraints
- (2016) Michal Červinka et al. MATHEMATICAL PROGRAMMING
- Mathematical Programs with Cardinality Constraints: Reformulation by Complementarity-Type Conditions and a Regularization Method
- (2016) Oleg P. Burdakov et al. SIAM JOURNAL ON OPTIMIZATION
- Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach
- (2015) Dimitris Bertsimas et al. COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
- The Price of Inexactness: Convergence Properties of Relaxation Methods for Mathematical Programs with Complementarity Constraints Revisited
- (2015) Christian Kanzow et al. MATHEMATICS OF OPERATIONS RESEARCH
- Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
- (2014) A. Burak Paç et al. Top
- Successive convex approximations to cardinality-constrained convex programs: a piecewise-linear DC approach
- (2013) Xiaojin Zheng et al. COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
- Recent Developments in Robust Portfolios with a Worst-Case Approach
- (2013) Jang Ho Kim et al. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
- Optimal Cardinality Constrained Portfolio Selection
- (2013) Jianjun Gao et al. OPERATIONS RESEARCH
- A New Regularization Method for Mathematical Programs with Complementarity Constraints with Strong Convergence Properties
- (2013) Christian Kanzow et al. SIAM JOURNAL ON OPTIMIZATION
- Sparsity Constrained Nonlinear Optimization: Optimality Conditions and Algorithms
- (2013) Amir Beck et al. SIAM JOURNAL ON OPTIMIZATION
- A new method for mean-variance portfolio optimization with cardinality constraints
- (2012) Francesco Cesarone et al. ANNALS OF OPERATIONS RESEARCH
- A local relaxation method for the cardinality constrained portfolio optimization problem
- (2012) Walter Murray et al. COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
- Theoretical and numerical comparison of relaxation methods for mathematical programs with complementarity constraints
- (2011) Tim Hoheisel et al. MATHEMATICAL PROGRAMMING
- Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
- (2011) Li Chen et al. OPERATIONS RESEARCH
- A concave optimization-based approach for sparse portfolio selection
- (2011) D. Di Lorenzo et al. OPTIMIZATION METHODS & SOFTWARE
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- (2010) Erick Delage et al. OPERATIONS RESEARCH
- A New Relaxation Scheme for Mathematical Programs with Equilibrium Constraints
- (2010) Sonja Steffensen et al. SIAM JOURNAL ON OPTIMIZATION
- Robust portfolios: contributions from operations research and finance
- (2009) Frank J. Fabozzi et al. ANNALS OF OPERATIONS RESEARCH
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- (2009) Victor DeMiguel et al. MANAGEMENT SCIENCE
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
- (2009) Shushang Zhu et al. OPERATIONS RESEARCH
- An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
- (2009) P. Bonami et al. OPERATIONS RESEARCH
- Portfolio Selection with Robust Estimation
- (2009) Victor DeMiguel et al. OPERATIONS RESEARCH
- A New Regularization Scheme for Mathematical Programs with Complementarity Constraints
- (2009) Abdeslam Kadrani et al. SIAM JOURNAL ON OPTIMIZATION
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- (2008) Dong X. Shaw et al. OPTIMIZATION METHODS & SOFTWARE
Become a Peeref-certified reviewer
The Peeref Institute provides free reviewer training that teaches the core competencies of the academic peer review process.
Get StartedAsk a Question. Answer a Question.
Quickly pose questions to the entire community. Debate answers and get clarity on the most important issues facing researchers.
Get Started