Mean-variance portfolio optimization with parameter sensitivity control

The mean-variance (MV) portfolio selection model, which aims to maximize the expected return while minimizing the risk measured by the variance, has been studied extensively in the literature and regarded as a powerful guiding principle in investment practice. Recognizing the importance to reduce th...

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Vydáno v:	Optimization methods & software Ročník 31; číslo 4; s. 755 - 774
Hlavní autoři:	Cui, Xueting, Zhu, Shushang, Li, Duan, Sun, Jie
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Abingdon Taylor & Francis 03.07.2016 Taylor & Francis Ltd
Témata:	Algorithms branch-and-bound Computer programs Mathematical models mean-variance model non-convex quadratically constrained quadratic programming Optimization Parameter estimation Parameter sensitivity Portfolio management Quadratic programming Risk management sensitivity control Software
ISSN:	1055-6788, 1029-4937
On-line přístup:	Získat plný text
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