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

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 an inexact l2-norm penalty method to solve the problem.

0013-791X
289-297
Jiang, Tao
9e527cf6-43a9-46a5-845e-bc66c9ce15ac
Wang, Shuo
ab3ecb29-8245-4db3-9b4d-2c3949be5848
Zhang, Ruochen
b1e6f3b7-0650-4b79-98bc-26fed5321e16
Qin, Lang
5e49a4f6-7fad-43ac-9a13-cf8f6a772418
Wu, Jinglian
956a2e6b-686b-44fb-86a8-0ac10af0bbf1
Wang, Delin
22b90f0f-fa8c-4492-8f57-819608b441ef
Ahipasaoglu, Selin D.
d69f1b80-5c05-4d50-82df-c13b87b02687
Jiang, Tao
9e527cf6-43a9-46a5-845e-bc66c9ce15ac
Wang, Shuo
ab3ecb29-8245-4db3-9b4d-2c3949be5848
Zhang, Ruochen
b1e6f3b7-0650-4b79-98bc-26fed5321e16
Qin, Lang
5e49a4f6-7fad-43ac-9a13-cf8f6a772418
Wu, Jinglian
956a2e6b-686b-44fb-86a8-0ac10af0bbf1
Wang, Delin
22b90f0f-fa8c-4492-8f57-819608b441ef
Ahipasaoglu, Selin D.
d69f1b80-5c05-4d50-82df-c13b87b02687

Jiang, Tao, Wang, Shuo, Zhang, Ruochen, Qin, Lang, Wu, Jinglian, Wang, Delin and Ahipasaoglu, Selin D. (2019) An inexact l2-norm penalty method for cardinality constrained portfolio optimization. Engineering Economist, 64 (3), 289-297. (doi:10.1080/0013791X.2019.1636169).

Record type: Article

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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e-pub ahead of print date: 19 July 2019

Identifiers

Local EPrints ID: 443190
URI: http://eprints.soton.ac.uk/id/eprint/443190
DOI: doi:10.1080/0013791X.2019.1636169
ISSN: 0013-791X
PURE UUID: 44ec42b3-7f6f-4b16-b800-fe8bf548562e
ORCID for Selin D. Ahipasaoglu: ORCID iD orcid.org/0000-0003-1371-315X

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Date deposited: 13 Aug 2020 16:38
Last modified: 17 Mar 2024 04:03

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Contributors

Author: Tao Jiang
Author: Shuo Wang
Author: Ruochen Zhang
Author: Lang Qin
Author: Jinglian Wu
Author: Delin Wang
Author: Selin D. Ahipasaoglu ORCID iD

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