An inexact l2-norm penalty method for cardinality constrained portfolio optimization

Tao Jiang, Shuo Wang, Ruochen Zhang, Lang Qin, Jinglian Wu, Delin Wang and Selin D. Ahipasaoglu

The Engineering Economist, 2019, vol. 64, issue 3, 289-297

Abstract: We 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.

Date: 2019
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DOI: 10.1080/0013791X.2019.1636169

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