Norm constrained minimum variance portfolios with short selling
From MaRDI portal
Publication:6088763
DOI10.1007/s10287-023-00438-2OpenAlexW4319879420MaRDI QIDQ6088763
Vrinda Dhingra, Amita Sharma, Shiv K. Gupta
Publication date: 14 December 2023
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-023-00438-2
budget constraintshort sellingrisk-free interest ratenorm constraintsminimum variance portfolio modelshort-rebate
Cites Work
- On the role of norm constraints in portfolio selection
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
- Portfolio selection theory with different interest rates for borrowing and lending
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- Robust CCMV model with short selling and risk-neutral interest rate
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
- Behavioral stock portfolio optimization considering holding periods of B-stocks with short-selling
- Diversified minimum-variance portfolios
- Optimal Cardinality Constrained Portfolio Selection
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- Lagrangian relaxation procedure for cardinality-constrained portfolio optimization
- A Robust Statistics Approach to Minimum Variance Portfolio Optimization
- Vast Portfolio Selection With Gross-Exposure Constraints
- Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
- Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique
This page was built for publication: Norm constrained minimum variance portfolios with short selling
