A sequential convex approximation algorithm for portfolio optimization model

DOI10.7511/DLLGXB201703016MaRDI QIDQ3131434zbMATH OpenFDO

Authors Weiguo Li, X.-J. Liang, Hongwei Zhang

Publication date 29 January 2018

Full work available at URL https://doi.org/10.7511/DLLGXB201703016

zbMATH Keywords

convex optimizationMonte Carlo methodportfoliosequential convex approximation

Mathematics Subject Classification ID

Convex programming (90C25) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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Cited in

(1)

• An efficient DC programming approach for portfolio decision with higher moments

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