Sparse and robust portfolio selection via semi-definite relaxation
Year of publication: |
2020
|
---|---|
Authors: | Lee, Yongjae ; Kim, Min Jeong ; Kim, Jang Ho ; Jang, Ju Ri ; Kim, Woo Chang |
Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 71.2020, 5, p. 687-699
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Subject: | Portfolio selection | sparse portfolio | L2-norm regularization | robust optimization | semi-definite relaxation | robo-advisor | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Theorie | Theory | Robustes Verfahren | Robust statistics |
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