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Solving cardinality constrained mean-variance portfolio problems via MILP - MaRDI portal

Solving cardinality constrained mean-variance portfolio problems via MILP (Q2400005)

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Solving cardinality constrained mean-variance portfolio problems via MILP
scientific article

    Statements

    title
    Solving cardinality constrained mean-variance portfolio problems via MILP (English)
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    author
    Abolfazl Keshvari
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    Markku Kallio
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    Pekka J. Korhonen
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    publication date
    25 August 2017
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    zbMATH Keywords
    portfolio optimization
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    cardinality constraints
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    mean-variance theory
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    CVaR
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    MASD
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    MILP
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    cites work

    Identifiers

    zbMATH DE Number
    6764417
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    OpenAlex ID
    W2592957206
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