A new global algorithm for factor-risk-constrained mean-variance portfolio selection (Q6064034)
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scientific article; zbMATH DE number 7762767
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| English | A new global algorithm for factor-risk-constrained mean-variance portfolio selection |
scientific article; zbMATH DE number 7762767 |
Statements
A new global algorithm for factor-risk-constrained mean-variance portfolio selection (English)
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8 November 2023
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factor-risk-constrained mean-variance portfolio selection
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global optimization
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successive convex optimization
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semi-definite relaxation
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branch-and-bound
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0.7588147521018982
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0.7556684613227844
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0.7505787014961243
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0.7500090003013611
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0.7453433871269226
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