A study on a kind of linear programming methods in portfolio selection

MaRDI QIDQ3403835zbMATH OpenFDO

Authors Mei Yu, Shouyang Wang

Publication date 12 February 2010

zbMATH Keywords

borrowing and lendinglinear programmingportfolio selectiontransaction cost

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

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(5)

• A linear programming model for selection of sparse high-dimensional multiperiod portfolios
• Using linear programming to seek the optimum combination of investment
• scientific article; zbMATH DE number 5630815 (Why is no real title available?)
• The Use of Linear Programming in Disentangling the Bankruptcies of Al-Manakh Stock Market Crash
• scientific article; zbMATH DE number 2065346 (Why is no real title available?)

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