A bi-level programming framework for identifying optimal parameters in portfolio selection
Kui Jing, Fengmin Xu and Xuepeng Li
| Year of publication: |
2022
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|---|---|
| Authors: | Jing, Kui ; Xu, Fengmin ; Li, Xuepeng |
| Published in: |
International transactions in operational research : a journal of the International Federation of Operational Research Societies. - Oxford : Wiley-Blackwell, ISSN 1475-3995, ZDB-ID 2019815-2. - Vol. 29.2022, 1, p. 87-112
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| Subject: | bi-level programming | cardinality | derivative-free optimization | parameter estimation | portfolio selection | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/itor.12856 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012630726