A mean–variance portfolio selection problem subject to a benchmark constraint: An existence result

DOI10.3233/RDA-2012-0075zbMath1263.91049MaRDI QIDQ4921214

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Publication date: 23 May 2013

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2012-0075

zbMATH Keywords

optimization; Lagrange multiplier; mean-variance portfolio selection

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G10: Portfolio theory

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