位置：成果数据库 > 期刊 > 期刊详情页
A BRANCH-AND-CUT APPROACH TO PORTFOLIO SELECTION WITH MARGINAL RISK CONTROL IN A LINEAR CONIC PROGRAMMING FRAMEWORK
  • ISSN号：1004-3756
  • 期刊名称：《系统科学与系统工程学报：英文版》
  • 时间：0
  • 分类：O211.1[理学—概率论与数理统计;理学—数学] TU375.4[建筑科学—结构工程]
  • 作者机构：[1]School of Management, University of Chinese Academy of Sciences, 100049, China, [2]Industrial and Systems Engineering Department, North Carolina State University, Raleigh, NC 2 7695, USA, [3]Department of Mathematics, Shanghai University, Shanghai, 200444, China, [4]School of Business Administration, Southwestern University of Finance and Economics, Chengdu, 611130, China, [5]Department of Mathematical Sciences, Tsinghua University, Beijing, 100084, China
  • 相关基金：This work was supported by the Edward P. Fitts Fellowship at North Carolina State University, the National Natural Science Foundation of China Grant Numbers 11171177, 11371216 and 11371242, and the US National Science Foundation Grant No. DMI-0553310.
作者： Zhibin DENG[1,2], Yanqin BAI[3], Shu-Cherng FANG[2], Ye TIAN[4], Wenxun XING[5]
关键词： 二次约束二次规划, 风险控制, 线性, 组合选择, 框架, 投资组合, 松弛问题, 选择问题, Portfolio selection, linear conic programming, branch-and-cut
同期刊论文项目
非对称锥优化理论与内点算法及其应用研究
期刊论文 6
组合优化问题的组合问题、算法和复杂性
期刊论文 1
非负二次函数锥规划研究
期刊论文 22 著作 1
同项目期刊论文
Computable representation of the cone of nonnegative quadratic forms over a general second-order con
Exact Computable Representation of Some Second - Order Cone Constrained Quadratic Programming Proble
Canonical dual approach to solving the maximum cut
Combination of parallel machine scheduling and vertex cover
Astudy on several combination problems of classic shop scheduling and shortestpath
Quadratic Optimization over a Second-Order Cone with Linear Equality Constraints
A branch-and-cut approach to portfolio selection with marginal risk control in a linear conic progra
Special Issue in Honor of the 60th Birthday of Professor Shu-Cherng Fang
On constraint qualifications: motivation, design and inter-relations
Detecting copositivity of a symmetric matrix by an adaptive ellipsoid-based approximation scheme
KKT SOLUTION AND CONIC RELAXATION FOR SOLVING QUADRATICALLY CONSTRAINED QUADRATIC PROGRAMMING PROBLE
Detection of a copositive matrix over a p-th order cone
Solving conic quadratically constrained quadratic programming problems
QUADRATIC OPTIMIZATION OVER ONE FIRST-ORDER CONE
Adaptive computable approximation to cones of nonnegative quadratic functions
Parametric Lagrangian dual for the binary quadratic programming problem
Canonicaldual solutions to quadratic optimization over one quadratic constraint
A conic approximation method for the 0-1 quadratic knapsack problem
A canonical dual approach for solving linearly constrained quadratic programs
半监督度量学习内蕴最速下降算法的收敛性分析
半参数顺序变量回归模型
时变系数自回归模型参数的贝叶斯估计
浅水方程初值问题数据同化的半参数方法
非线性约束最优化问题中的一种光滑精确罚函数算法
期刊信息
  • 《系统科学与系统工程学报：英文版》
  • 主管单位:
  • 主办单位:中国科学院系统科学研究所
  • 主编：
  • 地址：清华大学经济与管理学院
  • 邮编：100084
  • 邮箱：jchen@tsinghua.edu.cn
  • 电话：010-62771663
  • 国际标准刊号：ISSN：1004-3756
  • 国内统一刊号：ISSN：11-2983/N
  • 邮发代号:80-221
  • 获奖情况:
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,荷兰文摘与引文数据库,美国工程索引,美国科学引文索引（扩展库）,英国科学文摘数据库
  • 被引量:56