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Abstract

The cardinality-constrained portfolio optimization problem is NP-hard. Its Pareto front (or the Efficient Frontier - EF) is usually calculated by stochastic algorithms, including EAs. However, in certain cases the EF may be decomposed into a union of sub-EFs. In this work we propose a systematic process of excluding sub-EFs dominated by others, enabling us to calculate non-dominated sub-EFs. We then calculate whole EFs to a high degree of accuracy for small cardinalities, providing an alternative to EAs in those cases. We can use also this to provide insight into EAs on the problem.

Publication Date

2017-07-18

Publication Title

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10.1145/3067695.3082036" data-hide-no-mentions="true">

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