A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem (Q6560769)
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scientific article; zbMATH DE number 7870197
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| English | A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem |
scientific article; zbMATH DE number 7870197 |
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A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem (English)
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24 June 2024
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mean-variance-CVaR model
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short selling
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cardinality constraint
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transaction costs
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penalty decomposition method
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0.7667441368103027
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0.7644479870796204
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0.7639375925064087
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0.7615667581558228
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