DC programming and DCA: thirty years of developments
HA Le Thi, T Pham Dinh - Mathematical Programming, 2018 - Springer
The year 2015 marks the 30th birthday of DC (Difference of Convex functions) programming
and DCA (DC Algorithms) which constitute the backbone of nonconvex programming and …
and DCA (DC Algorithms) which constitute the backbone of nonconvex programming and …
An artificial bee colony algorithm with feasibility enforcement and infeasibility toleration procedures for cardinality constrained portfolio optimization
One of the most studied variant of portfolio optimization problems is with cardinality
constraints that transform classical mean–variance model from a convex quadratic …
constraints that transform classical mean–variance model from a convex quadratic …
Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
P Zhang, WG Zhang - Fuzzy sets and systems, 2014 - Elsevier
This paper considers a multiperiod fuzzy portfolio selection problem maximizing the terminal
wealth imposed by risk control, in which the returns of assets are characterized by …
wealth imposed by risk control, in which the returns of assets are characterized by …
A constrained portfolio selection model at considering risk-adjusted measure by using hybrid meta-heuristic algorithms
IB Salehpoor, S Molla-Alizadeh-Zavardehi - Applied Soft Computing, 2019 - Elsevier
Portfolio selection is a key issue in the business world and financial fields. This article
presents a new decision making method of portfolio optimization (PO) issues in different risk …
presents a new decision making method of portfolio optimization (PO) issues in different risk …
Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
In the matter of Portfolio selection, we consider an extended version of the Mean-Absolute
Deviation (MAD) model, which includes discrete asset choice constraints (threshold and …
Deviation (MAD) model, which includes discrete asset choice constraints (threshold and …
An interval mean–average absolute deviation model for multiperiod portfolio selection with risk control and cardinality constraints
P Zhang - Soft Computing, 2016 - Springer
Interval number is a kind of special fuzzy number and the interval approach is a good
method to deal with some uncertainty. An interval mean–average absolute deviation model …
method to deal with some uncertainty. An interval mean–average absolute deviation model …
Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
P Zhang - Soft computing, 2019 - Springer
Absolute deviation is a commonly used risk measure, which has attracted more attentions in
portfolio optimization. Most of existing mean–absolute deviation models are devoted to …
portfolio optimization. Most of existing mean–absolute deviation models are devoted to …
Robust investment strategies with discrete asset choice constraints using DC programming
In this article, we are concerned with robust investment strategies for the portfolio
management problem. We extend the classical Markowitz framework with discrete asset …
management problem. We extend the classical Markowitz framework with discrete asset …
DCA based approaches for bi-level variable selection and application for estimate multiple sparse covariance matrices
Variable selection plays an important role in analyzing high dimensional data and is a
fundamental problem in machine learning. When the data possesses certain group …
fundamental problem in machine learning. When the data possesses certain group …
Deterministic and stochastic DCA for DC programming
In the context of big data analysis, stochastic optimization algorithms are widely used as
effective tools to handle data complexity and data uncertainty. These algorithms usually aim …
effective tools to handle data complexity and data uncertainty. These algorithms usually aim …