Penalty ADM Algorithm for Cardinality Constrained Mean-Absolute Deviation Portfolio Optimization

Penalty ADM Algorithm for Cardinality Constrained Mean-Absolute Deviation Portfolio Optimization

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 in those stocks without short-selling positions. Also, we further enhance...

Full description

Bibliographic Details
Main Authors: Almaadeed, T.A (Author), Hamdi, A. (Author), Khodamoradi, T. (Author), Salahi, M. (Author)
Format: Article
Language:English
Published: International Academic Press 2022
Subjects:
Cardinality constrained
Mad model
PADM method
Online Access:View Fulltext in Publisher
Description
Summary: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 in those stocks without short-selling positions. Also, we further enhance the model by determining the short rebate based on the return. The penalty alternating direction method is used to solve the mixed integer linear model. Finally, numerical experiments are provided to compare all models in terms of Sharpe ratios and CPU times using the data set of the NASDAQ and S&P indexes. Copyright © 2022 International Academic Press
ISBN:2311004X (ISSN)
ISSN:2311004X (ISSN)
DOI:10.19139/soic-2310-5070-1312

Similar Items