A sparse chance constrained portfolio selection model with multiple constraints

DOI10.1007/s10898-020-00901-3zbMath1447.90023OpenAlexW3010717571MaRDI QIDQ785634

Shen Peng, Zhiping Chen, Abdel Lisser

Publication date: 7 August 2020

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-020-00901-3

zbMATH Keywords

portfolio selectiondistributionally robust optimizationcardinality constraintchance constraintenhanced indexation

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (2)

A novel methodology for portfolio selection in fuzzy multi criteria environment using risk-benefit analysis and fractional stochastic ⋮ Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization

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