Robust investment strategies with discrete asset choice constraints using DC programming

DOI10.1080/02331930903500274zbMath1188.90184OpenAlexW2006272043MaRDI QIDQ3553750

Mahdi Moeini, Nalân Gülpinar, Hoai An Le Thi

Publication date: 21 April 2010

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930903500274

zbMATH Keywords

DCAworst-case analysismean-variance portfolios

Mathematics Subject Classification ID

Mixed integer programming (90C11) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)

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