Robust portfolio rebalancing with cardinality and diversification constraints
Zhihua Zhao, Fengmin Xu, Donglei Du and Wang Meihua
| Year of publication: |
2021
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|---|---|
| Authors: | Zhao, Zhihua ; Xu, Fengmin ; Du, Donglei ; Meihua, Wang |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 10, p. 1707-1721
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| Subject: | ADMM | Cardinality constraint | Diversification constraint | Portfolio rebalancing | Sparse projection | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Diversifikation | Diversification | Portfolio-Investition | Foreign portfolio investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2021.1879392 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012653708