A combinatorial optimization approach to scenario filtering in portfolio selection
Justo Puerto, Federica Ricca, Moisés Rodríguez-Madrena, Andrea Scozzari
| Year of publication: |
2022
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|---|---|
| Authors: | Puerto, Justo ; Ricca, Federica ; Rodríguez-Madrena, Moisés ; Scozzari, Andrea |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 142.2022, p. 1-14
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| Subject: | Filtering methods | Mean-Variance optimization | Mixed integer quadratic programming | Portfolio selection | Portfolio-Management | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2022.105701 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013197730