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A Characterization of the SSD-Efficient Frontier of Portfolio Weights by Means of a Set of Mixed-Integer Linear Constraints.

Inaki Rodríguez Longarela
Published in: Manag. Sci. (2016)
Keyphrases
  • linear constraints
  • mixed integer
  • efficient frontier
  • quadratic program
  • decision makers
  • linear program
  • convex hull
  • data envelopment analysis
  • decision making
  • graphical models
  • probabilistic model