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Characterization of efficient frontier for mean-variance model with a drawdown constraint.

Haixiang YaoYongzeng LaiQinghua MaHuabao Zheng
Published in: Appl. Math. Comput. (2013)
Keyphrases
  • artificial intelligence
  • mathematical model
  • efficient frontier
  • probabilistic model
  • objective function
  • lower bound
  • optimization algorithm