We survey optimization problems that involve the cardinality of variable vectors in
constraints or the objective function. We provide a unified viewpoint on the general problem …

Portfolio selection is a key issue in the business world and financial fields. This article
presents a new decision making method of portfolio optimization (PO) issues in different risk …

Recently, a new approach to tackle cardinality-constrained optimization problems based on
a continuous reformulation of the problem was proposed. Following this approach, we …

This paper studies mean-risk portfolio optimization models using the conditional value-at-
risk (CVaR) as a risk measure. We also employ a cardinality constraint for limiting the …

Nonconvex penalty methods for sparse modeling in linear regression have been a topic of
fervent interest in recent years. Herein, we study a family of nonconvex penalty functions that …

A reformulation of cardinality-constrained optimization problems into continuous nonlinear
optimization problems with an orthogonality-type constraint has gained some popularity …

Asymmetric investors' sentiments on returns and risks play an important role in updating the
portfolio strategies in multi-period portfolio selection problems. By introducing the Prospect …

Switching-constrained optimization problems form a difficult class of mathematical
programmes since their feasible set is almost disconnected while standard constraint …

We consider nonlinear optimization problems with cardinality constraints. Based on a
continuous reformulation, we introduce second-order necessary and sufficient optimality …

By using the elaboration likelihood model (ELM) and prospect theory (PT) to model
investors' behavior-related decisions in portfolio optimization, we propose a novel dynamic …