Cardinality-constrained distributionally robust portfolio optimization (Q6112845)

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scientific article; zbMATH DE number 7709394
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Cardinality-constrained distributionally robust portfolio optimization
scientific article; zbMATH DE number 7709394

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    Cardinality-constrained distributionally robust portfolio optimization (English)
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    10 July 2023
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    portfolio optimization
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    mixed-integer semidefinite optimization
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    distributionally robust optimization
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    cutting-plane algorithm
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    matrix completion
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