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Portfolio selection theory with different interest rates for borrowing and lending

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Publication:1424962
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DOI10.1023/B:JOGO.0000006719.64826.55zbMath1088.91037OpenAlexW2032696538MaRDI QIDQ1424962

Shou-Yang Wang, Xiaotie Deng, Shunming Zhang

Publication date: 15 March 2004

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jogo.0000006719.64826.55


zbMATH Keywords

Kuhn-Tucker conditionquadratic program


Mathematics Subject Classification ID

Portfolio theory (91G10)


Related Items (7)

Optimal multinational project adjustment and selection with random parameters ⋮ A derivative-free optimization algorithm based on conditional moments ⋮ Norm constrained minimum variance portfolios with short selling ⋮ Fuzzy portfolio selection problem with different borrowing and lending rates ⋮ Sector-like optimization model of 5G base transceiver stations redeployment and the generalization ⋮ The optimal portfolios based on a modified safety-first rule with risk-free saving ⋮ Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate




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