Robust portfolio rebalancing with cardinality and diversification constraints
Zhihua Zhao, Fengmin Xu, Donglei Du and Wang Meihua
| Year of publication: |
2021
|
|---|---|
| Authors: | Zhao, Zhihua ; Xu, Fengmin ; Du, Donglei ; Meihua, Wang |
| 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://ebvufind01.dmz1.zbw.eu/10012653708