A closer look at the minimum-variance portfolio optimization model

DOI10.1155/2019/1452762zbMath1435.91169OpenAlexW2969689597MaRDI QIDQ2300406

Zhi-feng Dai

Publication date: 27 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/1452762

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Quadratic programming (90C20) Portfolio theory (91G10)

Related Items (2)

Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS) ⋮ Time-varying mean-variance portfolio selection problem solving via LVI-PDNN

Uses Software

• CVX

Cites Work

• Unnamed Item
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• Vast Portfolio Selection With Gross-Exposure Constraints

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