The Engineering Economist, Volume 64, Issue 3 (2019)

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The Engineering Economist, Volume 64, Issue 3 (2019)

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Special Issue on Nonconvex Portfolio Optimization; Guest Editor: Dessislava Pachamanova and Saurabh Bansal

Introduction

Introduction
Special Issue on Nonconvex Portfolio Optimization
Saurabh Bansal & Dessislava Pachamanova
Pages: 193-195
Published online: 21 Aug 2019
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Free Access

Articles

Article
GAN-MP hybrid heuristic algorithm for non-convex portfolio optimization problem
Yerin Kim, Daemook Kang, Mingoo Jeon & Chungmok Lee
Pages: 196-226
Published online: 18 Jun 2019
AbstractforGAN-MP hybrid heuristic algorithm for non-convex portfolio optimization problem | Full Text | References | PDF (2.7 MB) | EPUB
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Article
A Three-phase Approach to an Enhanced Index-tracking Problem with Real-life Constraints
O. Strub, S. Brandinu, D. Lerch, J. Schaller & N. Trautmann
Pages: 227-253
Published online: 17 Jul 2019
AbstractforA Three-phase Approach to an Enhanced Index-tracking Problem with Real-life Constraints | Full Text | References | PDF (2.1 MB) | EPUB
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Article
Variable neighborhood search heuristic for nonconvex portfolio optimization
Andrijana Bačević, Nemanja Vilimonović, Igor Dabić, Jakov Petrović, Darko Damnjanović & Dušan Džamić
Pages: 254-274
Published online: 16 Jun 2019
AbstractforVariable neighborhood search heuristic for nonconvex portfolio optimization | Full Text | References | PDF (2.2 MB) | EPUB
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Technical Notes

Article
Using column generation to solve extensions to the Markowitz model
Lorenz M. Roebers, Aras Selvi & Juan C. Vera
Pages: 275-288
Published online: 22 Jul 2019
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Open Access
Article
An inexact l2-norm penalty method for cardinality constrained portfolio optimization
Tao Jiang, Shuo Wang, Ruochen Zhang, Lang Qin, Jinglian Wu, Delin Wang & Selin D. Ahipasaoglu
Pages: 289-297
Published online: 19 Jul 2019
AbstractforAn inexact l2-norm penalty method for cardinality constrained portfolio optimization | Full Text | References | PDF (888.1 KB) | EPUB
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Article
Index fund optimization using a hybrid model: genetic algorithm and mixed-integer nonlinear programming
Juan Díaz, María Cortés, Juan Hernández, Óscar Clavijo, Carlos Ardila & Sergio Cabrales
Pages: 298-309
Published online: 08 Jul 2019
AbstractforIndex fund optimization using a hybrid model: genetic algorithm and mixed-integer nonlinear programming | Full Text | References | PDF (1 MB) | EPUB
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Article
An extension to the classical mean–variance portfolio optimization model
Çelen N. Ötken, Z. Batuhan Organ, E. Ceren Yıldırım, Mustafa Çamlıca, Volkan S. Cantürk, Ekrem Duman, Z. Melis Teksan & Enis Kayış
Pages: 310-321
Published online: 22 Jul 2019
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