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"A linear programming model for selection of sparse high-dimensional ..."

Chi Seng Pun, Hoi Ying Wong (2019)

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DOI: 10.1016/J.EJOR.2018.08.025

access: closed

type: Journal Article

metadata version: 2020-02-21

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Chi Seng Pun, Hoi Ying Wong:
A linear programming model for selection of sparse high-dimensional multiperiod portfolios. Eur. J. Oper. Res. 273(2): 754-771 (2019)

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