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A Relaxed Optimization Approach for Cardinality-Constrained Portfolio Optimization. (arXiv:1810.10563v1 [math.OC])

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A cardinality-constrained portfolio caps the number of stocks to be traded across and within groups or sectors. These limitations arise from real-world scenarios faced by fund managers, who are constrained by transaction costs and client preferences as they seek to maximize return and limit risk.

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