Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices
Ralph E. Steuer, Yue Qi, Maximilian Wimmer
| Year of publication: |
2024
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|---|---|
| Authors: | Steuer, Ralph E. ; Qi, Yue ; Wimmer, Maximilian |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 313.2024, 2 (1.3.), p. 628-636
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| Subject: | Buyin thresholds | Cardinality constraints | Closest correlation matrices | Efficient frontiers | Portfolio optimization | Portfolio-Management | Portfolio selection | Theorie | Theory | Korrelation | Correlation | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.08.026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014456608