Robust investment strategies with discrete asset choice constraints using DC programming

DOI10.1080/02331930903500274zbMath1188.90184MaRDI QIDQ3553750

Nalân Gülpinar, Hoai An Le Thi, Mahdi Moeini

Publication date: 21 April 2010

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930903500274

zbMATH Keywords

DCA; worst-case analysis; mean-variance portfolios

Mathematics Subject Classification ID

90C11: Mixed integer programming

90C26: Nonconvex programming, global optimization

91G10: Portfolio theory