Browsing by Author "Salahi, M."
Now showing items 1-5 of 5
-
A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem
Hamdi, A.; Khodamoradi, T.; Salahi, M. ( World Scientific , 2023 , Article)In this paper, we study mean-variance-Conditional Value-At-Risk (CVaR) portfolio optimization problem with short selling, cardinality constraint and transaction costs. To tackle its mixed-integer quadratic optimization ... -
An efficient algorithm for large-scale extended trust-region subproblems with non-intersecting linear constraints
Karbasy, S.A.; Hamdi, A.; Salahi, M.; Taati, A. ( Springer Science and Business Media Deutschland GmbH , 2021 , Article)In this paper, we study the extended trust-region subproblem in which the trust-region intersects the ball with m linear inequality constraints (m-eTRS). We assume that the linear constraints do not intersect inside the ... -
Penalty ADM Algorithm for Cardinality Constrained Mean-Absolute Deviation Portfolio Optimization
Almaadeed, T.A.; Khodamoradi, T.; Salahi, M.; Hamdi, A. ( International Academic Press , 2022 , Article)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 ... -
Robust index-tracking and enhanced index-tracking in portfolio optimization
Khoshabar, N.A.; Salahi, M.; Lotfi, S.; Hamdi, A. ( Ascociacion Internacional de Economia Aplicada , 2020 , Article)We study index-tracking and enhanced index-tracking problems in portfolio optimization under interval uncertainty for returns and covariance matrix. The proposed robust counterparts for both models are in the form of second ... -
The generalized trust-region sub-problem with additional linear inequality constraints-Two convex quadratic relaxations and strong duality
Almaadeed, T.A.; Taati, A.; Salahi, M.; Hamdi, A. ( MDPI AG , 2020 , Article)In this paper, we study the problem of minimizing a general quadratic function subject to a quadratic inequality constraint with a fixed number of additional linear inequality constraints. Under a regularity condition, we ...