A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint (Q2701425)
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scientific article; zbMATH DE number 7680909
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| English | A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint |
scientific article; zbMATH DE number 7680909 |
Statements
A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint (English)
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28 April 2023
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portfolio optimization
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second order cone programming relaxation
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semi-definite programming relaxation
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branch and bound algorithm
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simultaneous diagonalization
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orthogonality constraint
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0.7622280120849609
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0.751963198184967
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0.7453240752220154
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0.7389368414878845
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0.7332460880279541
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