Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
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Publication:2044819
DOI10.1007/s10203-020-00293-9zbMath1470.91244OpenAlexW3044426994MaRDI QIDQ2044819
Publication date: 10 August 2021
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-020-00293-9
Convex programming (90C25) Quadratic programming (90C20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)
Related Items (4)
Norm constrained minimum variance portfolios with short selling ⋮ Cardinality-constrained distributionally robust portfolio optimization ⋮ Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique ⋮ Portfolio optimization model with and without options under additional constraints
Uses Software
Cites Work
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