Optimal trade-off portfolio selection between total risk and maximum relative marginal risk†

DOI10.1080/10556788.2015.1041946zbMath1355.90098OpenAlexW2403233455MaRDI QIDQ2829556

Qian Li, Yan-Qin Bai

Publication date: 8 November 2016

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2015.1041946

zbMATH Keywords

branch-and-boundmean-variance modelrelative marginal risksecond-order cone programme

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Nonconvex programming, global optimization (90C26) Quadratic programming (90C20) Fractional programming (90C32) Portfolio theory (91G10)

Related Items

An optimal trade-off model for portfolio selection with sensitivity of parameters ⋮ A new global algorithm for factor-risk-constrained mean-variance portfolio selection

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