# American Institute of Mathematical Sciences

July  2016, 12(3): 1041-1056. doi: 10.3934/jimo.2016.12.1041

## Cardinality constrained portfolio selection problem: A completely positive programming approach

 1 School of Business Administration, Southwestern University of Finance and Economics, Chengdu, 611130 2 Department of Industrial and Systems Engineering, North Carolina State University, Raleigh, NC 27606, United States 3 School of Management, University of Chinese Academy of Sciences, Beijing, 100190 4 Department of Management Science and Engineering, Zhejiang University, Hangzhou, Zhejiang 310058

Received  March 2014 Revised  May 2015 Published  September 2015

In this paper, we propose a completely positive programming reformulation of the cardinality constrained portfolio selection problem. By constructing a sequence of computable cones of nonnegative quadratic forms over a union of second-order cones, an $\epsilon$-optimal solution of the original problem can be found in finite iterations using semidefinite programming techniques. In order to obtain a good lower bound efficiently, an adaptive scheme is adopted in our approximation algorithm. The numerical results show that the proposed algorithm can find better approximate and feasible solutions than other known methods in the literature.
Citation: Ye Tian, Shucherng Fang, Zhibin Deng, Qingwei Jin. Cardinality constrained portfolio selection problem: A completely positive programming approach. Journal of Industrial & Management Optimization, 2016, 12 (3) : 1041-1056. doi: 10.3934/jimo.2016.12.1041
##### References:

show all references

##### References:
 [1] Ardeshir Ahmadi, Hamed Davari-Ardakani. A multistage stochastic programming framework for cardinality constrained portfolio optimization. Numerical Algebra, Control & Optimization, 2017, 7 (3) : 359-377. doi: 10.3934/naco.2017023 [2] Zhihua Zhang, Naoki Saito. PHLST with adaptive tiling and its application to antarctic remote sensing image approximation. Inverse Problems & Imaging, 2014, 8 (1) : 321-337. doi: 10.3934/ipi.2014.8.321 [3] Luke Finlay, Vladimir Gaitsgory, Ivan Lebedev. Linear programming solutions of periodic optimization problems: approximation of the optimal control. Journal of Industrial & Management Optimization, 2007, 3 (2) : 399-413. doi: 10.3934/jimo.2007.3.399 [4] Xiaoming Wang. Quasi-periodic solutions for a class of second order differential equations with a nonlinear damping term. Discrete & Continuous Dynamical Systems - S, 2017, 10 (3) : 543-556. doi: 10.3934/dcdss.2017027 [5] Qiang Guo, Dong Liang. An adaptive wavelet method and its analysis for parabolic equations. Numerical Algebra, Control & Optimization, 2013, 3 (2) : 327-345. doi: 10.3934/naco.2013.3.327 [6] Horst R. Thieme. Remarks on resolvent positive operators and their perturbation. Discrete & Continuous Dynamical Systems - A, 1998, 4 (1) : 73-90. doi: 10.3934/dcds.1998.4.73 [7] Caifang Wang, Tie Zhou. The order of convergence for Landweber Scheme with $\alpha,\beta$-rule. Inverse Problems & Imaging, 2012, 6 (1) : 133-146. doi: 10.3934/ipi.2012.6.133 [8] Alexandre B. Simas, Fábio J. Valentim. $W$-Sobolev spaces: Higher order and regularity. Communications on Pure & Applied Analysis, 2015, 14 (2) : 597-607. doi: 10.3934/cpaa.2015.14.597 [9] Alexandr Mikhaylov, Victor Mikhaylov. Dynamic inverse problem for Jacobi matrices. Inverse Problems & Imaging, 2019, 13 (3) : 431-447. doi: 10.3934/ipi.2019021 [10] Armin Lechleiter, Tobias Rienmüller. Factorization method for the inverse Stokes problem. Inverse Problems & Imaging, 2013, 7 (4) : 1271-1293. doi: 10.3934/ipi.2013.7.1271 [11] Haiyan Wang. Existence and nonexistence of positive radial solutions for quasilinear systems. Conference Publications, 2009, 2009 (Special) : 810-817. doi: 10.3934/proc.2009.2009.810 [12] Hildeberto E. Cabral, Zhihong Xia. Subharmonic solutions in the restricted three-body problem. Discrete & Continuous Dynamical Systems - A, 1995, 1 (4) : 463-474. doi: 10.3934/dcds.1995.1.463 [13] A. Aghajani, S. F. Mottaghi. Regularity of extremal solutions of semilinaer fourth-order elliptic problems with general nonlinearities. Communications on Pure & Applied Analysis, 2018, 17 (3) : 887-898. doi: 10.3934/cpaa.2018044 [14] Michel Chipot, Mingmin Zhang. On some model problem for the propagation of interacting species in a special environment. Discrete & Continuous Dynamical Systems - A, 2020  doi: 10.3934/dcds.2020401 [15] Fritz Gesztesy, Helge Holden, Johanna Michor, Gerald Teschl. The algebro-geometric initial value problem for the Ablowitz-Ladik hierarchy. Discrete & Continuous Dynamical Systems - A, 2010, 26 (1) : 151-196. doi: 10.3934/dcds.2010.26.151 [16] Gloria Paoli, Gianpaolo Piscitelli, Rossanno Sannipoli. A stability result for the Steklov Laplacian Eigenvalue Problem with a spherical obstacle. Communications on Pure & Applied Analysis, 2021, 20 (1) : 145-158. doi: 10.3934/cpaa.2020261 [17] Ka Luen Cheung, Man Chun Leung. Asymptotic behavior of positive solutions of the equation $\Delta u + K u^{\frac{n+2}{n-2}} = 0$ in $IR^n$ and positive scalar curvature. Conference Publications, 2001, 2001 (Special) : 109-120. doi: 10.3934/proc.2001.2001.109 [18] Zaihong Wang, Jin Li, Tiantian Ma. An erratum note on the paper: Positive periodic solution for Brillouin electron beam focusing system. Discrete & Continuous Dynamical Systems - B, 2013, 18 (7) : 1995-1997. doi: 10.3934/dcdsb.2013.18.1995 [19] Rongchang Liu, Jiangyuan Li, Duokui Yan. New periodic orbits in the planar equal-mass three-body problem. Discrete & Continuous Dynamical Systems - A, 2018, 38 (4) : 2187-2206. doi: 10.3934/dcds.2018090 [20] Marion Darbas, Jérémy Heleine, Stephanie Lohrengel. Numerical resolution by the quasi-reversibility method of a data completion problem for Maxwell's equations. Inverse Problems & Imaging, 2020, 14 (6) : 1107-1133. doi: 10.3934/ipi.2020056

2019 Impact Factor: 1.366