Linear programing models for portfolio optimization using a benchmark
Year of publication: |
2019
|
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Authors: | Park, Seyoung ; Song, Hyunson ; Lee, Sungchul |
Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 25.2019, 5, p. 435-457
|
Subject: | Dantzig | linear programing | Mean-absolute deviation risk | perturbation | portfolio optimization | sparsity | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
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