Portfolio optimization model with and without options under additional constraints
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Publication:2217040
DOI10.1155/2020/8862435zbMATH Open1459.91175OpenAlexW3109286839MaRDI QIDQ2217040FDOQ2217040
Authors: Yanyan Li 
Publication date: 18 December 2020
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2020/8862435
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Cited In (5)
- Mean-absolute deviation portfolio models with discrete choice constraints
- OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS
- Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate
- A portfolio choice model based on the modified mean-absolute deviation
- Developing a multi-period robust optimization model considering American style options
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