Mean–variance portfolio optimization with parameter sensitivity control<sup>†</sup> (Q2829560)
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scientific article; zbMATH DE number 6648958
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean–variance portfolio optimization with parameter sensitivity control<sup>†</sup> |
scientific article; zbMATH DE number 6648958 |
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Mean–variance portfolio optimization with parameter sensitivity control<sup>†</sup> (English)
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8 November 2016
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mean-variance model
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sensitivity control
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non-convex quadratically constrained quadratic programming
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branch-and-bound
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