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A concave optimization-based approach for sparse portfolio selection.
David Di Lorenzo
Giampaolo Liuzzi
Francesco Rinaldi
Fabio Schoen
Marco Sciandrone
Published in:
Optim. Methods Softw. (2012)
Keyphrases
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portfolio selection
robust optimization
portfolio optimization
multiple objectives
multistage stochastic
optimization problems
portfolio management
objective function
multi objective
combinatorial optimization
multistage
mathematical programming
financial markets