Mean-variance portfolio optimization with parameter sensitivity control (Q2829560)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6648958
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Mean-variance portfolio optimization with parameter sensitivity control |
scientific article; zbMATH DE number 6648958 |
Statements
Mean–variance portfolio optimization with parameter sensitivity control<sup>†</sup> (English)
0 references
8 November 2016
0 references
mean-variance model
0 references
sensitivity control
0 references
non-convex quadratically constrained quadratic programming
0 references
branch-and-bound
0 references
0 references
0 references
0.7861447930335999
0 references
0.7701219916343689
0 references
0.7489404678344727
0 references
0.7487636208534241
0 references
0.7480000853538513
0 references
