Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
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Publication:1716964
DOI10.3934/jimo.2017059zbMath1412.90098OpenAlexW2667024645MaRDI QIDQ1716964
Publication date: 5 February 2019
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2017059
convergence analysisstochastic programmingsample average approximationsparse linear complimentarily problemsparse Markowitz portfolio selection
Applications of mathematical programming (90C90) Stochastic programming (90C15) Portfolio theory (91G10)
Related Items (3)
Lifted stationary points of sparse optimization with complementarity constraints ⋮ Robust multi-period and multi-objective portfolio selection ⋮ On Monte-Carlo methods in convex stochastic optimization
Uses Software
Cites Work
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