Bankruptcy prevention in multiperiod Markowitz optimization problem
From MaRDI portal
Publication:344024
DOI10.3103/S0278641916020084zbMath1349.91256MaRDI QIDQ344024
Publication date: 22 November 2016
Published in: Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)
quadratic programming; bankruptcy; arbitrage-free markets; investment portfolio optimization; Markowitz problem
91G10: Portfolio theory