Sparse tangent portfolio selection via semi-definite relaxation
Min Jeong Kim, Yongjae Lee, Jang Ho Kim, Woo Chang Kim
| Year of publication: |
July 2016
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|---|---|
| Authors: | Kim, Min Jeong ; Lee, Yongjae ; Kim, Jang Ho ; Kim, Woo Chang |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 44.2016, 4, p. 540-543
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| Subject: | Sparse portfolio | Sharpe ratio maximization | Semi-definite relaxation | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2016.05.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011535445