Sparse portfolio rebalancing model based on inverse optimization

DOI10.1080/10556788.2012.700309zbMath1285.90069OpenAlexW2055959038MaRDI QIDQ5746700

Guan Wang, Meihua Wang, Feng-Min Xu

Publication date: 7 February 2014

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2012.700309

zbMATH Keywords

sparseinverse optimizationsecond-order cone programportfolio rebalancing

Mathematics Subject Classification ID

Nonlinear programming (90C30) Portfolio theory (91G10)

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