An optimization-diversification approach to portfolio selection
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Publication:2301189
DOI10.1007/s10898-019-00809-7zbMath1440.90030OpenAlexW2963256270MaRDI QIDQ2301189
Fabio Tardella, Francesco Cesarone, Andrea Scozzari
Publication date: 28 February 2020
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10898-019-00809-7
Related Items (6)
The DTC (difference of tangentially convex functions) programming: optimality conditions ⋮ Elliptic entropy of uncertain random variables with application to portfolio selection ⋮ Mean-variance-VaR portfolios: MIQP formulation and performance analysis ⋮ Portfolio optimization through a network approach: network assortative mixing and portfolio diversification ⋮ Risk parity with expectiles ⋮ Nonmonotone trust region algorithm for solving the unconstrained multiobjective optimization problems
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