Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach
Shushang Zhu; Xueting Cui; Xiaoling Sun; Duan Li
| Year of publication: |
2012
|
|---|---|
| Authors: | Zhu, Shushang ; Cui, Xueting ; Sun, Xiaoling ; Li, Duan |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 14.2011/12, 2, p. 51-89
|
| Subject: | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risikomaß | Risk measure | Schätzung | Estimation | Hongkong | Hong Kong |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009422361