Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint

DOI10.1140/epjb/e2018-90456-2zbMath1515.90090arXiv1709.08755MaRDI QIDQ6108639

Gábor Papp, Fabio Caccioli, Imre Kondor

Publication date: 26 July 2023

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.08755

zbMATH Keywords

statistical and nonlinear physics

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Portfolio theory (91G10)

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