On the impact of semidefinite positive correlation measures in portfolio theory.

Sergio Ortobelli Tomás Tichý

Published in: Ann. Oper. Res. (2015)

Keyphrases

semidefinite
portfolio theory
monotonicity property
semidefinite programming
sufficient conditions
higher dimensional
convex relaxation
interior point methods
convex sets
machine learning
np hard
probability ranking principle