Concentrated portfolio selection models based on historical data

DOI10.1002/asmb.2066MaRDI QIDQ6574663

Li-Yuan Wang, Zhiping Chen, Zongxin Li

Publication date: 18 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

portfolio selectionhistorical datanonconvex quadratic programsgreedy matrixtransaction cost constraints

Mathematics Subject Classification ID

Statistics (62-XX)

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