Time-varying mean-variance portfolio selection problem solving via LVI-PDNN

DOI10.1016/j.cor.2021.105582OpenAlexW3203729177MaRDI QIDQ2669682

Shuai Li, Vasilios N. Katsikis, Xinwei Cao, Spyridon D. Mourtas, Predrag S. Stanimirović

Publication date: 9 March 2022

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cor.2021.105582

zbMATH Keywords

quadratic programmingtime-varying systemsportfolio selectioncontinuous neural networks

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items

A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint ⋮ Time-varying minimum-cost portfolio insurance problem via an adaptive fuzzy-power LVI-PDNN

Uses Software

• ORPIT

Cites Work

• Unnamed Item
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