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Markowitz\u2019s approach to portfolio selection models stock profitability and risk level through a mean\u2013variance model, which involves estimating a very large number of parameters. In addition to requiring considerable computational effort, this raises serious concerns about the reliability of the model in real-world scenarios. This paper presents a hybrid approach that combines itemset extraction with portfolio selection. We propose to adapt Markowitz\u2019s model logic to deal with sets of candidate portfolios rather than with single stocks. We overcome some of the known issues of the Markovitz model as follows: (i) <jats:italic>Complexity<\/jats:italic>: we reduce the model complexity, in terms of parameter estimation, by studying the interactions among stocks within a shortlist of candidate stock portfolios previously selected by an itemset mining algorithm. (ii) <jats:italic>Portfolio-level constraints<\/jats:italic>: we not only perform stock-level selection, but also support the enforcement of arbitrary constraints at the portfolio level, including the properties of diversification and the fundamental indicators. (iii) <jats:italic>Usability<\/jats:italic>: we simplify the decision-maker\u2019s work by proposing a decision support system that enables flexible use of domain knowledge and human-in-the-loop feedback. The experimental results, achieved on the US stock market, confirm the proposed approach\u2019s flexibility, effectiveness, and scalability.<\/jats:p>","DOI":"10.1007\/s10115-023-01832-7","type":"journal-article","created":{"date-parts":[[2023,1,31]],"date-time":"2023-01-31T17:03:40Z","timestamp":1675184620000},"page":"2485-2508","update-policy":"https:\/\/doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":2,"title":["Early portfolio pruning: a scalable approach to hybrid portfolio selection"],"prefix":"10.1007","volume":"65","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-8979-4174","authenticated-orcid":false,"given":"Daniele G.","family":"Gioia","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7973-9283","authenticated-orcid":false,"given":"Jacopo","family":"Fior","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"ORCID":"https:\/\/orcid.org\/0000-0002-7185-5247","authenticated-orcid":false,"given":"Luca","family":"Cagliero","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"297","published-online":{"date-parts":[[2023,1,31]]},"reference":[{"issue":"1","key":"1832_CR1","first-page":"77","volume":"7","author":"H Markowitz","year":"1952","unstructured":"Markowitz H (1952) Portfolio selection. 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