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Multi-period Possibilistic Mean Semivariance Portfolio Selection with Cardinality Constraints and its Algorithm.
Peng Zhang
Published in:
J. Math. Model. Algorithms Oper. Res. (2015)
Keyphrases
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computational complexity
search space
portfolio selection
objective function
dynamic programming
cost function
probabilistic model
convex hull
multi period
np hard
benchmark problems
production planning
cardinality constraints