Linear vs. quadratic portfolio selection models with hard real-world constraints
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Publication:2355713
DOI10.1007/s10287-014-0210-1zbMath1355.91076arXiv1105.3594OpenAlexW2060121314MaRDI QIDQ2355713
Andrea Scozzari, Francesco Cesarone, Fabio Tardella
Publication date: 24 July 2015
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.3594
mean-varianceconditional value-at-riskportfolio performancemean semi-absolute deviationmixed integer linear and quadratic programming
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Uses Software
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