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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Bibliographic Details

Published in:	Optimization methods & software Vol. 31; no. 4; pp. 755 - 774
Main Authors:	Cui, Xueting, Zhu, Shushang, Li, Duan, Sun, Jie
Format:	Journal Article
Language:	English
Published:	Abingdon Taylor & Francis 03.07.2016 Taylor & Francis Ltd
Subjects:	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
Online Access:	Get full text
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