A combinatorial optimization approach to scenario filtering in portfolio selection

DOI10.1016/j.cor.2022.105701OpenAlexW3135174107MaRDI QIDQ2146965

Justo Puerto, Federica Ricca, Andrea Scozzari, Moisés Rodríguez-Madrena

Publication date: 22 June 2022

Published in: Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.01123

zbMATH Keywords

portfolio selectionmean-variance optimizationfiltering methodsmixed integer quadratic programming

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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