Portfolio selection under possibilistic mean-variance utility and a SMO algorithm
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Publication:1014980
DOI10.1016/j.ejor.2008.07.011zbMath1159.90471OpenAlexW1988279472MaRDI QIDQ1014980
Wei-Lin Xiao, Wei-Guo Zhang, Xi-Li Zhang
Publication date: 30 April 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2008.07.011
portfolio selectionparametric quadratic programmingmean-variance utilitypossibilistic distributionsequential minimal optimization (SMO)
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