Spin glasses and nonlinear constraints in portfolio optimization

DOI10.1016/j.physleta.2013.12.013zbMath1398.91499arXiv1311.2511OpenAlexW2005503068MaRDI QIDQ1786638

M. Andrecut

Publication date: 24 September 2018

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1311.2511

Mathematics Subject Classification ID

Dynamic lattice systems (kinetic Ising, etc.) and systems on graphs in time-dependent statistical mechanics (82C20) Portfolio theory (91G10)

Related Items (1)

A closer look at the minimum-variance portfolio optimization model

Cites Work

• On inhomogeneous eigenvalue problems. I
• Optimization Methods in Finance

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