Portfolio Optimization with Combinatorial and Downside Return Constraints (Q5172956)
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scientific article; zbMATH DE number 6398665
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio Optimization with Combinatorial and Downside Return Constraints |
scientific article; zbMATH DE number 6398665 |
Statements
Portfolio Optimization with Combinatorial and Downside Return Constraints (English)
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6 February 2015
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stochastic portfolio optimization
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probabilistic Markowitz
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combinatorial trading constraints
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stochastic programming
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outer approximation algorithm
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