Sparse portfolio rebalancing model based on inverse optimization (Q5746700): Difference between revisions

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+Feng-Min Xu
@@ Property / author: Feng-Min Xu / rank @@
+Normal rank
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/10556788.2012.700309
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@@ Property / OpenAlex ID @@
+W2055959038
@@ Property / OpenAlex ID: W2055959038 / rank @@
+Normal rank
@@ Property / cites work @@
+Second-order cone programming
@@ Property / cites work: Second-order cone programming / rank @@
+Normal rank
@@ Property / cites work @@
+Lectures on Modern Convex Optimization
@@ Property / cites work: Lectures on Modern Convex Optimization / rank @@
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+Portfolio selection and transactions costs
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+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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+Models and simulations for portfolio rebalancing
@@ Property / cites work: Models and simulations for portfolio rebalancing / rank @@
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@@ Property / cites work @@
+Inverse conic programming with applications
@@ Property / cites work: Inverse conic programming with applications / rank @@
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+Mean-absolute deviation portfolio optimization model under transaction costs
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+Portfolio optimization with linear and fixed transaction costs
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+Q4324980
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+Estimating the dimension of a model
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+Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
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+A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
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+Portfolio rebalancing model using multiple criteria
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+Inverse optimization for linearly constrained convex separable programming problems
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+Portfolio adjusting optimization under credibility measures
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@@ links / mardi / name / links / mardi / name @@
+Publication:5746700