Macroscopic relationship in primal-dual portfolio optimization problem
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Publication:4964477
DOI10.1088/1742-5468/aa9f40zbMath1459.91181OpenAlexW2790775112MaRDI QIDQ4964477
Publication date: 2 March 2021
Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1742-5468/aa9f40
Applications of mathematical programming (90C90) Stochastic programming (90C15) Portfolio theory (91G10)
Cites Work
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- Noisy covariance matrices and portfolio optimization. II
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- Replica approach to mean-variance portfolio optimization
- Analytic solution to variance optimization with no short positions
- Minimal investment risk of a portfolio optimization problem with budget and investment concentration constraints
- Portfolio Optimization and Performance Analysis
- On the feasibility of portfolio optimization under expected shortfall
- Parameter Estimation for the Truncated Pareto Distribution
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