Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
type: Item
instance of: scholarly article
title: Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
zbMATH Open document ID: 1412.90098
author: Qiyu Wang
author: Hailin Sun
published in: Journal of Industrial and Management Optimization
publication date: 2019-02-05T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7012489
zbMATH Keywords: stochastic programming
zbMATH Keywords: sparse linear complimentarily problem
zbMATH Keywords: sparse Markowitz portfolio selection
zbMATH Keywords: sample average approximation
zbMATH Keywords: convergence analysis
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: jimo.2017059
OpenAlex ID: W2667024645
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DOI: 10.3934/JIMO.2017059
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description: scientific article; zbMATH DE number 7012489