Sparse tangent portfolio selection via semi-definite relaxation
Year of publication: |
July 2016
|
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Authors: | Kim, Min Jeong ; Lee, Yongjae ; Kim, Jang Ho ; Kim, Woo Chang |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 44.2016, 4, p. 540-543
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Subject: | Sparse portfolio | Sharpe ratio maximization | Semi-definite relaxation | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory |
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