Optimal trade-off portfolio selection between total risk and maximum relative marginal risk<sup>†</sup> (Q2829556)
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scientific article; zbMATH DE number 6648954
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| English | Optimal trade-off portfolio selection between total risk and maximum relative marginal risk<sup>†</sup> |
scientific article; zbMATH DE number 6648954 |
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Optimal trade-off portfolio selection between total risk and maximum relative marginal risk<sup>†</sup> (English)
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8 November 2016
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mean-variance model
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relative marginal risk
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branch-and-bound
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second-order cone programme
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0.90002877
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0.8976566
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0.8946606
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0.8940645
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0.8940625
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