Sparse Markowitz portfolio selection by using stochastic linear complementarity approach (Q1716964)
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scientific article; zbMATH DE number 7012489
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| English | Sparse Markowitz portfolio selection by using stochastic linear complementarity approach |
scientific article; zbMATH DE number 7012489 |
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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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0.9114205
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0.9000647
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0.8903712
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0.88993025
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0.8880663
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0.8870464
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0.88604444
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