Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
Year of publication: |
2013
|
---|---|
Authors: | Li, Yingjie ; Zhu, Shushang ; Li, Donghui ; Li, Duan |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 228.2013, 3, p. 556-570
|
Publisher: |
Elsevier |
Subject: | Branch-and-bound | Systematic risk | Risk sensitivity | Factor model | Second-order cone program |
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