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A combinatorial optimization approach to scenario filtering in portfolio selection - MaRDI portal

A combinatorial optimization approach to scenario filtering in portfolio selection

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Publication:6361842

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DOI10.1016/j.cor.2022.105701zbMath1511.91135arXiv2103.01123MaRDI QIDQ6361842

Moisés Rodríguez-Madrena, Federica Ricca, Andrea Scozzari, Justo Puerto

Publication date: 1 March 2021

Mathematics Subject Classification ID

Integer programming (90C10) Mixed integer programming (90C11) Quadratic programming (90C20) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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