An efficient global optimal method for cardinality constrained portfolio optimization
Year of publication: |
2024
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Authors: | Xu, Wei ; Tang, Jie ; Yiu, Ka Fai Cedric ; Peng, Jian Wen |
Published in: |
INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences. - Linthicum, Md. : INFORMS, ISSN 1526-5528, ZDB-ID 2004082-9. - Vol. 36.2024, 2, p. 690-704
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Subject: | branch and bound method | cardinality constraint | lower bound analysis | portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
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