An inexact l2-norm penalty method for cardinality constrained portfolio optimization |
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| Authors: | Tao Jiang Shuo Wang Ruochen Zhang Lang Qin Jinglian Wu Delin Wang |
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| Affiliation: | 1. Engineering Systems and Design, Singapore University of Technology and Design, Singapore, Singapore;2. felicitytao.jiang@gmail.com;4. Information Systems Technology and Design, Singapore University of Technology and Design, Singapore, Singapore |
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| Abstract: | AbstractWe analyze and solve a single-period portfolio optimization problem with non-convex constraints, which address practical concerns of investment such as the active share weights of sectors and the number of stocks held in a portfolio. We reformulate the problem to simplify the computation and propose an inexact l2-norm penalty method to solve the problem. |
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