In this paper we consider the problem of "nding the e$cient frontier associated with the standard mean}variance portfolio optimisation model. We extend the standard model to include cardinality constraints that limit a portfolio to have a speci"ed number of assets, and to impose limits on the proportion of the portfolio held in a given asset (if any of the asset is held). We illustrate the di!e...

The NP-hard nature of cardinality constrained mean-variance portfolio optimization problems has led to a number of different algorithms with varying degrees of success in reaching optimality given limited computational resources and under the presence of strict time constraints present in practice. The proposed local relaxation algorithm explores the inherent structure of the objective function...

We introduce a cardinality constrained multi-objective optimization problem for generating efficient portfolios within a fuzzy mean-absolute deviation framework. We assume that the return on a given portfolio is modeled by means of LR-type fuzzy variables, whose credibility distributions collect the contemporary relationships among the returns on individual assets. To consider credibility measu...

In this paper, we apply the Markowitz portfolio optimization technique based on mean-variance and semi-variance as measures of risk stocks listed South Pacific Stock Exchange, Fiji. We document key market characteristics consider monthly returns data from SEP-2019 to FEB-2022 (T = 30) 17/19 companies stock exchange construct various portfolios like 1/N (naïve), maximum return, minimum-variance ...

Abstract Sparse PCA methods are used to overcome the difficulty of interpreting solution obtained from PCA. However, constraining obtain sparse solutions is an intractable problem, especially in a high-dimensional setting. Penalized due their computational tractability. Nevertheless, recent developments permit efficiently obtaining good cardinality-constrained problems allowing comparison betwe...

A number of clustering algorithms have been proposed for use in tasks where a limited degree of supervision is available. This prior knowledge is frequently provided in the form of pairwise must-link and cannot-link constraints. While the incorporation of pairwise supervision has the potential to improve clustering accuracy, the composition and cardinality of the constraint sets can significant...

modern portfolio theory is based on harry markowitz's 1952 work on mean-variance portfolios. he stated that a rational investor should either maximize his expected return for a given level of risk, or minimize his risk for a given expected return. in this study the markowitz model with cardinality constraints was studied. we extend the standard model to include cardinality constraints that...