Mansini, Renata; Ogryczak, Wlodzimierz; Speranza, M. Grazia - In: European Journal of Operational Research 234 (2014) 2, pp. 518-535
Markowitz formulated the portfolio optimization problem through two criteria: the expected return and the risk, as a measure of the variability of the return. The classical Markowitz model uses the variance as the risk measure and is a quadratic programming problem. Many attempts have been made...