Minimising the variance under convex constraints

DOI10.1002/PAMM.200310304zbMATH Open1354.90094OpenAlexW2047497338MaRDI QIDQ2955045FDOQ2955045

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

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Mathematics Subject Classification ID

Convex programming (90C25)

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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