Smoothing and Regularization for Mixed-Integer Second-Order Cone Programming with Applications in Portfolio Optimization
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Publication:5172959
DOI10.1007/978-1-4614-8987-0_4zbMath1305.90327OpenAlexW2149031492MaRDI QIDQ5172959
Publication date: 6 February 2015
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-4614-8987-0_4
Semidefinite programming (90C22) Convex programming (90C25) Mixed integer programming (90C11) Financial applications of other theories (91G80) Portfolio theory (91G10)
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