279. From Keynes to Markowitz and back — optimize portfolios by strict cardinality control
Invited abstract in session MB-13: True sparsity in Standard Quadratic Problems, stream Sparsity guarantee and cardinality-constrained (MI)NLPs.
Monday, 10:30-12:30Room: B100/6009
Authors (first author is the speaker)
| 1. | Immanuel Bomze
|
| Dept. of Statistics and OR, University of Vienna | |
| 2. | Paula Amaral
|
| Faculdade de Ciências e Tecnologia, Universidade Nova de Lisboa | |
| 3. | Yuan Chen
|
| Department of Statistics and Operations Research, University of Wien | |
| 4. | Bo Peng
|
| University of Vienna |
Abstract
We will address portfolio selection problems with rigorous lower and/or upper
bounds on the number of selected assets. In case of lower bounds, we will
also impose a fixed positive lower bound on the amount of used (positive)
assets, i.e., enter the domain of semi-continuous variables. This so-called
minimum buy-in threshold may be incurred by transaction costs. The resulting
models are QPs with additional binary or continuous variables, and additional
constraints (of linear and/or complementarity type). Several formulations and
algorithmic perspectives are discussed, as well as potential microfinance
applications.
Keywords
- Nonlinear mixed integer optimization
- Optimization in industry, business and finance
- Conic and semidefinite optimization
Status: accepted
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