Cardinality-constrained distributionally robust portfolio optimization
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Publication:6112845
DOI10.1016/j.ejor.2023.01.037arXiv2112.12454OpenAlexW4319864358MaRDI QIDQ6112845
Yuichi Takano, Ken Kobayashi, Kazuhide Nakata
Publication date: 10 July 2023
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2112.12454
matrix completionportfolio optimizationdistributionally robust optimizationcutting-plane algorithmmixed-integer semidefinite optimization
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