Vast Portfolio Selection With Gross-Exposure Constraints
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Publication:4916498
DOI10.1080/01621459.2012.682825zbMath1261.62091OpenAlexW2134056163WikidataQ36503578 ScholiaQ36503578MaRDI QIDQ4916498
Jingjin Zhang, Ke Yu, Jianqing Fan
Publication date: 22 April 2013
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc3535429
portfolio optimizationrisk assessmentmean-variance efficiencyshort-sale constraintportfolio improvementrisk optimization
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