We propose a DC (Difference of two Convex functions) formulation approach for sparse
optimization problems having a cardinality or rank constraint. With the largest-k norm, an …

Portfolio optimization involves the optimal assignment of limited capital to different available
financial assets to achieve a reasonable trade-off between profit and risk objectives. In this …

This paper examines the application of genetic algorithm, tabu search and simulated
annealing metaheuristic approaches to finding the cardinality constrained efficient frontier …

Several portfolio selection models take into account practical limitations on the number of
assets to include and on their weights in the portfolio. We present here a study of the Limited …

Portfolio optimization problem has received a lot of attention from both researchers and
practitioners over the last six decades. This paper provides an overview of the current state …

We consider the problem of decomposing a multivariate polynomial as the difference of two
convex polynomials. We introduce algebraic techniques which reduce this task to linear …

We address the minimization of a smooth objective function under an $\ell_0 $-constraint
and simple convex constraints. When the problem has no constraints except the $\ell_0 …

The problem of optimizing over the cone of nonnegative polynomials is a fundamental
problem in computational mathematics, with applications to polynomial optimization, control …

Portfolio optimization problem is an important research topic in finance. The standard model
of this problem, called Markowitz mean-variance model, has two conflicting criteria …

Controlling the number of active assets (cardinality of the portfolio) in a mean-variance
portfolio problem is practically important but computationally demanding. Such task is …