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Fast algorithms for sparse portfolio selection considering industries and investment styles 期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2020, 页码: 27
Authors:  Dong, Zhi-Long;  Xu, Fengmin;  Dai, Yu-Hong
Favorite  |  View/Download：108/0  |  Submit date：2020/06/30
Portfolio selection  Industry classification  Style investment  ADMM  Sparse optimization  
An index tracking model with stratified sampling and optimal allocation 期刊论文
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, 2018, 卷号: 34, 期号: 2, 页码: 144-157
Authors:  Wang, Meihua;  Xu, Fengmin;  Dai, Yu-Hong
Favorite  |  View/Download：125/0  |  Submit date：2018/07/30
index tracking  out-of-sample performance  stratified sampling  stratified hybrid genetic algorithm  s-rar crossover  
A sparse enhanced indexation model with chance and cardinality constraints 期刊论文
JOURNAL OF GLOBAL OPTIMIZATION, 2018, 卷号: 70, 期号: 1, 页码: 5-25
Authors:  Xu, Fengmin;  Wang, Meihua;  Dai, Yu-Hong;  Xu, Dachuan
Favorite  |  View/Download：102/0  |  Submit date：2018/07/30
Enhanced indexation  Chance constraint  Mixed integer programming  Distributionally robust approach