A bi‐level programming framework for identifying optimal parameters in portfolio selection

DOI10.1111/itor.12856OpenAlexW3080906964MaRDI QIDQ6092501

Unnamed Author, Feng-Min Xu, Xuepeng Li

Publication date: 23 November 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.12856

zbMATH Keywords

parameter estimationcardinalityportfolio selectionderivative-free optimizationbi-level programming

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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