Portfolio Optimization with Combinatorial and Downside Return Constraints

DOI10.1007/978-1-4614-8987-0_2zbMath1305.91222OpenAlexW107798072MaRDI QIDQ5172956

Miguel A. Lejeune

Publication date: 6 February 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-8987-0_2

zbMATH Keywords

stochastic programmingprobabilistic Markowitzstochastic portfolio optimizationouter approximation algorithmcombinatorial trading constraints

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (1)

Complex portfolio selection via convex mixed‐integer quadratic programming: a survey

Uses Software

• CPLEX

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