The benefits of differential variance-based constraints in portfolio optimization
Haim Levy; Moshe Levy
| Year of publication: |
2014
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|---|---|
| Authors: | Levy, Haim ; Levy, Moshe |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 234.2014, 2 (1.4.), p. 372-381
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| Subject: | Mean-variance analysis | Portfolio optimization | Portfolio constraints | Estimation error | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure |
| 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/10010356754