Efficient Cardinality/Mean-Variance Portfolios

Conference object, Article English OPEN
Brito, R. Pedro; Vicente, Luís Nunes;
(2013)
  • Publisher: Springer Berlin Heidelberg
  • Related identifiers: doi: 10.1007/978-3-662-45504-3_6
  • Subject: Multiobjective optimization | Efficient frontier | [ INFO ] Computer Science [cs] | Portfolio selection | Sparse portfolios | Cardinality | Derivative-free optimization

International audience; We propose a novel approach to handle cardinality in portfolio selection, by means of a biobjective cardinality/mean-variance problem, allowing the investor to analyze the efficient tradeoff between return-risk and number of active positions. Rec... View more
Share - Bookmark