Portfolio selection problems with Markowitz's mean-variance framework : a review of literature
Year of publication: |
2018
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Authors: | Zhang, Yuanyuan ; Li, Xiang ; Guo, Sini |
Published in: |
Fuzzy optimization and decision making : a journal of modeling and computation under uncertainty. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1568-4539, ZDB-ID 2167798-0. - Vol. 17.2018, 2, p. 125-158
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Subject: | Dynamic optimization | Fuzzy optimization | Mean–variance model | Portfolio selection | Robust optimization | Theorie | Theory | Portfolio-Management | Mathematische Optimierung | Mathematical programming |
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An extension of some results due to Cox and Leland
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