Browsing by Author "Khodamoradi, T."
Now showing items 1-2 of 2
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A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
Hamdi, A.; Khodamoradi, T.; Salahi, M. ( World Scientific , 2023 , Article)In this paper, we study mean-variance-Conditional Value-At-Risk (CVaR) portfolio optimization problem with short selling, cardinality constraint and transaction costs. To tackle its mixed-integer quadratic optimization ... -
Penalty ADM Algorithm for Cardinality Constrained Mean-Absolute Deviation Portfolio Optimization
Almaadeed, T.A.; Khodamoradi, T.; Salahi, M.; Hamdi, A. ( International Academic Press , 2022 , Article)In this paper, we study the cardinality constrained mean-absolute deviation portfolio optimization problem with risk-neutral interest rate and short-selling. We enhance the model by adding extra constraints to avoid investing ...