Conference presentation

Congratulations to our student Yuan Chen and his co-authors, Immanuel Bomze, Nikolaus Hautsch, and Bo Peng!

Yuan presented their paper, “Cardinality-Constrained Optimization for Large-Scale Portfolio,” at the SIAM Conference on Optimization (OP26), which took place from June 2–5, 2026, at the University of Edinburgh, United Kingdom.

Paper: “Cardinality-Constrained Optimization for Large-Scale Portfolio”

Authors: Yuan Chen (VGSF), Immanuel Bomze (University of Vienna), Nikolaus Hautsch (University of Vienna, VGSF), and Bo Peng (University of Vienna)

Abstract:

We propose a portfolio optimization model that reconciles Keyness advocacy for concentrated investments with Markowitzs emphasis on diversification. By incorporating cardinality constraints into the Markowitz mean-variance framework, we enable investors to focus on a small set of assets, fostering specialized expertise. Cardinality con straints allow investors to still use the sample covariance matrix in high-dimensional settings with limited data, balancing diversification needs while mitigating estimation errors inherent in such environments.