A sparse chance constrained portfolio selection model with multiple constraints
type: Item
instance of: scholarly article
title: A sparse chance constrained portfolio selection model with multiple constraints
zbMATH Open document ID: 1447.90023
author: Zhiping Chen
author: Shen Peng
author: Abdel Lisser
published in: Journal of Global Optimization
publication date: 2020-08-07T00:00:00Z
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7229501
zbMATH Keywords: portfolio selection
zbMATH Keywords: chance constraint
zbMATH Keywords: distributionally robust optimization
zbMATH Keywords: cardinality constraint
zbMATH Keywords: enhanced indexation
MaRDI profile type: Publication
full work available at URL: s10898-020-00901-3
OpenAlex ID: W3010717571
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DOI: 10.1007/S10898-020-00901-3
description: scientific article; zbMATH DE number 7229501