A mean-variance portfolio selection problem subject to a benchmark constraint: an existence result (Q4921214)
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scientific article; zbMATH DE number 6165395
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| English | A mean-variance portfolio selection problem subject to a benchmark constraint: an existence result |
scientific article; zbMATH DE number 6165395 |
Statements
A mean–variance portfolio selection problem subject to a benchmark constraint: An existence result (English)
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23 May 2013
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Lagrange multiplier
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optimization
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mean-variance portfolio selection
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0.7927225232124329
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0.7802264094352722
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0.7797718048095703
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0.7740787267684937
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0.7715234756469727
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