Work

Cardinality constrained mean-variance portfolios: a penalty decomposition algorithm

Year: 2025

Type: article

Source: Computational Optimization and Applications

DOI: 10.1007/s10589-025-00653-4

Authors: Ahmad Mousavi, George Michailidis

Institutions: American University, University of California, Los Angeles

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W4406969641

FWCI: 2.315

Cites: 12

Cited by: 3

Related to: 10