Constrained Monotone Mean-Variance Problem with Random Coefficients.

Ying Hu Xiaomin Shi Zuo Quan Xu

Published in: SIAM J. Financial Math. (2023)

Keyphrases

linear combination
portfolio selection
database
objective function
utility function
transform coefficients
lagrange multipliers
data sets
social networks
evolutionary algorithm
wavelet coefficients
uniform distribution
linear prediction
generalized gaussian