Minimising the variance under convex constraints

DOI10.1002/PAMM.200310304MaRDI QIDQ2955045zbMATH OpenOpenAlexFDO

Authors Ulrich Martin Hirth

Publication date 25 January 2017

Published in PAMM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/pamm.200310304

Mathematics Subject Classification ID

Convex programming (90C25)

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Cited in

(4)

• A maximal variance problem
• Constrained Monotone Mean-Variance Problem with Random Coefficients
• Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint
• Minimizing a convex combination of the overshoot and undershoot

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