CVaR-cardinality enhanced indexation optimization with tunable short-selling constraints
Zhihua Zhao, Hao Wang, Xiangyu Yang and Fengmin Xu
| Year of publication: |
2021
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|---|---|
| Authors: | Zhao, Zhihua ; Wang, Hao ; Yang, Xiangyu ; Xu, Fengmin |
| Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 28.2021, 3, p. 201-207
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| Subject: | cardinality | CVaR | Enhanced indexation | mixed-integer program | out-of-sample analysis | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Index | Index number |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/13504851.2020.1740156 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012415134