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Sparse and robust mean-variance portfolio optimization problems - MaRDI portal

Sparse and robust mean-variance portfolio optimization problems (Q2158966)

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Sparse and robust mean-variance portfolio optimization problems
scientific article

    Statements

    title
    Sparse and robust mean-variance portfolio optimization problems (English)
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    author
    Fei Wang
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    Zhi-feng Dai
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    published in
    Physica A
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    publication date
    26 July 2022
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    zbMATH Keywords
    portfolio optimization
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    mean-variance portfolio
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    regularization
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    robust optimization
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    Identifiers

    zbMATH DE Number
    7563462
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    OpenAlex ID
    W2942347792
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    Wikidata QID
    Q128024144
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