An L_۱ then L_۰ approach to the cardinality constrained mean-variance and mean-CVaR portfolio optimization problems
- سال انتشار: 1403
- محل انتشار: مجله ریاضیات و مدل سازی در امور مالی، دوره: 4، شماره: 1
- کد COI اختصاصی: JR_JMMF-4-1_007
- زبان مقاله: انگلیسی
- تعداد مشاهده: 152
نویسندگان
Center of Excellence for Mathematical Modeling, Optimization and Combinatorial Computing (MMOCC), University of Guilan, Rasht, Iran
Department of Applied Mathematics, Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran.
چکیده
Cardinality constrained portfolio optimization problems are widely used portfolio optimization models which incorporate restriction on the number of assets in the portfolio. Being mixed-integer programming problems make them NP-hard thus computationally challenging, specially for large number of assets. In this paper, we consider cardinality constrained mean-variance (CCMV) and cardinality constrained mean-CVaR (CCMCVaR) models and propose a hybrid algorithm to solve them. At first, it solves the relaxed model by replacing L_۰-norm, which bounds the number of assets, by L_۱-norm. Then it removes those assets that do not significantly contribute on the portfolio and apply the original CCMV or CCMCVaR model to the remaining subset of assets. To deal with the large number of scenarios in the CCMCVaR model, conditional scenario reduction technique is applied. Computational experiments on ۳ large data sets show that the proposed approach is competitive with the original models from risk, return and Sharpe ratio perspective while being significantly faster.کلیدواژه ها
Portfolio optimization, cardinality constraint, mean-CVaRاطلاعات بیشتر در مورد COI
COI مخفف عبارت CIVILICA Object Identifier به معنی شناسه سیویلیکا برای اسناد است. COI کدی است که مطابق محل انتشار، به مقالات کنفرانسها و ژورنالهای داخل کشور به هنگام نمایه سازی بر روی پایگاه استنادی سیویلیکا اختصاص می یابد.
کد COI به مفهوم کد ملی اسناد نمایه شده در سیویلیکا است و کدی یکتا و ثابت است و به همین دلیل همواره قابلیت استناد و پیگیری دارد.