Sensitivity to estimation errors in mean-variance models

DOI10.1007/s10255-003-0101-7zbMath1068.91029OpenAlexW1966823171MaRDI QIDQ1879132

Zhiping Chen, Caie Zhao

Publication date: 22 September 2004

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-003-0101-7

zbMATH Keywords

Lipschitz continuous

Mathematics Subject Classification ID

Quadratic programming (90C20) Sensitivity, stability, parametric optimization (90C31)

Related Items (1)

Complex portfolio selection via convex mixed‐integer quadratic programming: a survey

Cites Work

• A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals
• Large-Scale Portfolio Optimization
• Lipschitz Continuity for Constrained Processes
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