A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint (Q2701425)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint |
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A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint (English)
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28 April 2023
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portfolio optimization
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second order cone programming relaxation
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semi-definite programming relaxation
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branch and bound algorithm
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simultaneous diagonalization
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orthogonality constraint
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