Sparse tangent portfolio selection via semi-definite relaxation (Q1694793)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse tangent portfolio selection via semi-definite relaxation |
scientific article |
Statements
Sparse tangent portfolio selection via semi-definite relaxation (English)
0 references
6 February 2018
0 references
sparse portfolio
0 references
Sharpe ratio maximization
0 references
semi-definite relaxation
0 references
0 references
0 references
0 references
