A sparse chance constrained portfolio selection model with multiple constraints (Q785634)
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scientific article; zbMATH DE number 7229501
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| English | A sparse chance constrained portfolio selection model with multiple constraints |
scientific article; zbMATH DE number 7229501 |
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A sparse chance constrained portfolio selection model with multiple constraints (English)
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7 August 2020
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portfolio selection
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chance constraint
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distributionally robust optimization
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cardinality constraint
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enhanced indexation
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0.8272391557693481
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0.7876953482627869
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0.7842007875442505
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0.7649217844009399
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