Norm constrained minimum variance portfolios with short selling.

Vrinda Dhingra Shiv Kumar Gupta Amita Sharma

Published in: Comput. Manag. Sci. (2023)

Keyphrases

minimum variance
portfolio optimization
spectral estimation
portfolio selection
linear prediction
stock market
risk management
factor analysis
problems involving
feature extraction
optimization methods
robust optimization
image compression
bit rate
independent component analysis
power spectrum