An inexact l2-norm penalty method for cardinality constrained portfolio optimization. Issue 3 (3rd July 2019)

• Record Type: Journal Article
• Authors: Jiang, Tao; Wang, Shuo; Zhang, Ruochen; Qin, Lang; Wu, Jinglian; Wang, Delin; Ahipasaoglu, Selin D.
• Is Part Of: Engineering economist. Volume 64:Issue 3(2019)
• Page Start: 289
• Page End: 297
• Publication Date: 2019-07-03
• Subjects: Engineering -- Estimates -- Periodicals; Industrial management -- Periodicals; 338.4762005
• DOI: 10.1080/0013791X.2019.1636169
• Languages: English
• ISSNs: 0013-791X

Abstract

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 l 2 -norm penalty method to solve the problem.