Sparse tangent portfolio selection via semi-definite relaxation
type: Item
instance of: scholarly article
title: Sparse tangent portfolio selection via semi-definite relaxation
zbMATH Open document ID: 1380.90211
author: Peng Zhang
published in: Operations Research Letters
publication date: 2018-02-06T00:00:00Z
Mathematics Subject Classification ID: 90C22
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6835057
zbMATH Keywords: sparse portfolio
zbMATH Keywords: Sharpe ratio maximization
zbMATH Keywords: semi-definite relaxation
describes a project that uses: SeDuMi
describes a project that uses: SDPT3
MaRDI profile type: Publication
full work available at URL: j.orl.2016.05.012
OpenAlex ID: W2237174617
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DOI: 10.1016/J.ORL.2016.05.012
description: scientific article; zbMATH DE number 6835057