A novel global algorithm for optimal portfolio selection with maximum relative marginal risk via SCO method and SOCP relaxation

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Bibliographic Details
Published in:Computational optimization and applications
Main Authors: Luo, Hezhi, Gou, Tianxing, Wu, Huixian, Li, Qian
Format: Journal Article
Language:English
Published: 23.07.2025
ISSN:0926-6003, 1573-2894
Online Access:Get full text
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Description
ISSN:0926-6003
1573-2894
DOI:10.1007/s10589-025-00716-6