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A new global algorithm for factor-risk-constrained mean-variance portfolio selection.
Huixian Wu
Hezhi Luo
Xianye Zhang
Jianzhen Liu
Published in:
J. Glob. Optim. (2023)
Keyphrases
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portfolio selection
optimization algorithm
learning algorithm
optimal solution
benchmark problems
computational complexity
dynamic programming
decision making
objective function
long term
np hard
combinatorial optimization
risk management
optimal strategy
financial markets