Cardinality-constrained distributionally robust portfolio optimization
Ken Kobayashi, Yuichi Takano, Kazuhide Nakata
| Year of publication: |
2023
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|---|---|
| Authors: | Kobayashi, Ken ; Takano, Yuichi ; Nakata, Kazuhide |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 309.2023, 3 (16.9.), p. 1173-1182
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| Subject: | Cutting-plane algorithm | Distributionally robust optimization | Matrix completion | Mixed-integer semidefinite optimization | Portfolio optimization | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Robustes Verfahren | Robust statistics | Algorithmus | Algorithm | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.01.037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014435005