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Tight Upper Bounds on the Cardinality Constrained Mean-Variance Portfolio Optimization Problem Using Truncated Eigendecomposition.
Fred Mayambala
Elina Rönnberg
Torbjörn Larsson
Published in:
OR (2014)
Keyphrases
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upper bound
eigendecomposition
lower bound
portfolio optimization
covariance matrix
spectral clustering
worst case
sample size
low rank
portfolio selection
high order
kernel matrix
image processing
objective function
optimal solution
similarity matrix