Sparse tangent portfolio selection via semi-definite relaxation.
Min Jeong KimYongjae LeeJang Ho KimWoo Chang KimPublished in: Oper. Res. Lett. (2016)
Keyphrases
- semidefinite
- portfolio selection
- semidefinite programming
- convex relaxation
- robust optimization
- semi definite programming
- sufficient conditions
- convex optimization
- higher dimensional
- convex sets
- interior point methods
- high dimensional
- financial markets
- optimization methods
- support vector
- kernel matrix
- primal dual
- np hard
- optimal portfolio