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A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint.
Zhijun Xu
Jing Zhou
Published in:
Comput. Optim. Appl. (2023)
Keyphrases
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portfolio optimization
portfolio selection
portfolio management
factor analysis
convex relaxation
problems involving
optimization methods
risk management
bi objective
stock market
convex optimization
robust optimization
stock price
linear programming
decision support system