Dynamic multi-period sparse portfolio selection model with asymmetric investors’ sentiments

Stochasticity and robustness in spiking neural networks

(2020) Wilkie Olin-Ammentorp et al.   NEUROCOMPUTING

Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization

(2018) Martin Branda et al.   COMPUTATIONAL OPTIMIZATION AND APPLICATIONS

Behavioral mean-variance portfolio selection

(2018) Junna Bi et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix

(2018) Amine Ismail et al.   MATHEMATICAL FINANCE

Complex portfolio selection via convex mixed-integer quadratic programming: a survey

(2018) Luca Mencarelli et al.   International Transactions in Operational Research

An artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for cardinality constrained portfolio optimization

(2017) Can B. Kalayci et al.   EXPERT SYSTEMS WITH APPLICATIONS

Approaches to Pythagorean Fuzzy Stochastic Multi-criteria Decision Making Based on Prospect Theory and Regret Theory with New Distance Measure and Score Function

(2017) Xindong Peng et al.   INTERNATIONAL JOURNAL OF INTELLIGENT SYSTEMS

Sparse Markowitz portfolio selection by using stochastic linear complementarity approach

(2017) Hailin Sun et al.   Journal of Industrial and Management Optimization

A New Method For Dynamic Stock Clustering Based On Spectral Analysis

(2016) Zhaoyuan Li et al.   Computational Economics

Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability

(2016) Haixiang Yao et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Optimized spiral spherical self-organizing map approach to sector analysis – The case of banking

(2015) Timotej Jagric et al.   EXPERT SYSTEMS WITH APPLICATIONS

Multi-period portfolio selection using kernel-based control policy with dimensionality reduction

(2013) Yuichi Takano et al.   EXPERT SYSTEMS WITH APPLICATIONS

A polynomial optimization approach to constant rebalanced portfolio selection

(2011) Yuichi Takano et al.   COMPUTATIONAL OPTIMIZATION AND APPLICATIONS

Heuristic algorithms for the cardinality constrained efficient frontier

(2011) M. Woodside-Oriakhi et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Sparse and stable Markowitz portfolios

(2009) J. Brodie et al.   PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA

From Sparse Solutions of Systems of Equations to Sparse Modeling of Signals and Images

(2009) Alfred M. Bruckstein et al.   SIAM REVIEW