A new method for mean-variance portfolio optimization with cardinality constraints
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Publication:2393351
DOI10.1007/s10479-012-1165-7zbMath1269.91069OpenAlexW2056405418MaRDI QIDQ2393351
Francesco Cesarone, Andrea Scozzari, Fabio Tardella
Publication date: 7 August 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-012-1165-7
cardinality constraintsportfolio managementstandard quadratic optimizationmixed integer quadratic programming
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