Sparse and robust portfolio selection via semi-definite relaxation.

Yongjae Lee Min Jeong Kim Jang Ho Kim Ju Ri Jang Woo Chang Kim

Published in: J. Oper. Res. Soc. (2020)

Keyphrases

semidefinite
portfolio selection
robust optimization
semidefinite programming
convex relaxation
semi definite programming
linear programming
interior point methods
sufficient conditions
convex optimization
higher dimensional
special case
feature selection
multiple objectives