A cutting plane algorithm for MV portfolio selection model
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Publication:1036539
DOI10.1016/j.amc.2009.06.040zbMath1180.91254OpenAlexW1980932417MaRDI QIDQ1036539
Xiaolian Liao, Shou-Yang Wang, Guo-Hua Chen
Publication date: 13 November 2009
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2009.06.040
Nonlinear programming (90C30) Linear programming (90C05) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)
Related Items (4)
Optimizing fuzzy portfolio selection problems by parametric quadratic programming ⋮ Characterization of efficient frontier for mean-variance model with a drawdown constraint ⋮ Efficiency evaluation of fuzzy portfolio in different risk measures via DEA ⋮ A hybrid FA-SA algorithm for fuzzy portfolio selection with transaction costs
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