A discrete multi-factor portfolio optimization model with cardinality constraints (Q3108922)
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scientific article; zbMATH DE number 6001462
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| English | A discrete multi-factor portfolio optimization model with cardinality constraints |
scientific article; zbMATH DE number 6001462 |
Statements
27 January 2012
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portfolio optimization
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discrete multi-factor model
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cardinality constraint
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branch-and-bound method
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Lagrangian relaxation
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0.874771237373352
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0.8282386660575867
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0.8247395157814026
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0.8210864067077637
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0.8155649304389954
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