Epsilon-dominating solutions in mean-variance portfolio analysis
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Publication:1291760
DOI10.1016/S0377-2217(97)00056-8zbMath0960.91509WikidataQ127015656 ScholiaQ127015656MaRDI QIDQ1291760
Publication date: 13 May 2001
Published in: European Journal of Operational Research (Search for Journal in Brave)
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Cites Work
- Epsilon efficiency
- Large-Scale Portfolio Optimization
- The Optimal Selection of Small Portfolios
- A New and Efficient Algorithm for a Class of Portfolio Selection Problems
- An Integer Programming Algorithm for Portfolio Selection
- A finite algorithm to maximize certain pseudoconcave functions on polytopes
- Finite Horizon Markov Decision Processes with Uncertain Terminal Payoffs
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