Browsing by Subject "Branch-and-Bound"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • Thumbnail Image
    ItemOpen Access
    Sparsity penalized mean–variance portfolio selection: analysis and computation
    (SPRINGER HEIDELBERG, 2024-11-25) Akkaya, Deniz; Pınar, Mustafa Çelebi; Şen, Buse
    We consider the problem of mean–variance portfolio selection regularized with an -penalty term to control the sparsity of the portfolio. We analyze the structure of local and global minimizers and use our results in the design of a Branch-and-Bound algorithm coupled with an advanced start heuristic. Extensive computational results with real data as well as comparisons with an off-the-shelf and state-of-the-art (MIQP) solver are reported.