Sparse Markowitz portfolio selection by using stochastic linear complementarity approach (Q1716964)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse Markowitz portfolio selection by using stochastic linear complementarity approach |
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Sparse Markowitz portfolio selection by using stochastic linear complementarity approach (English)
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5 February 2019
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stochastic programming
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sparse linear complimentarily problem
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sparse Markowitz portfolio selection
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sample average approximation
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convergence analysis
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