Sparse and robust portfolio selection via semi-definite relaxation
Yongjae Lee, Min Jeong Kim, Jang Ho Kim, Ju Ri Jang & Woo Chang Kim
| Year of publication: |
2020
|
|---|---|
| Authors: | Lee, Yongjae ; Kim, Min Jeong ; Kim, Jang Ho ; Jang, Ju Ri ; Kim, Woo Chang |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 71.2020, 5, p. 687-699
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| Subject: | Portfolio selection | sparse portfolio | L2-norm regularization | robust optimization | semi-definite relaxation | robo-advisor | Portfolio-Management | Theorie | Theory | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2019.1581408 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012216744