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"Sparse and robust portfolio selection via semi-definite relaxation."

Yongjae Lee et al. (2020)

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DOI: 10.1080/01605682.2019.1581408

access: closed

type: Journal Article

metadata version: 2023-06-26

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  - journals/jors/LeeKKJK20
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  - https://dblp.org/rec/journals/jors/LeeKKJK20
Yongjae Lee, Min Jeong Kim, Jang Ho Kim, Ju Ri Jang, Woo Chang Kim:
Sparse and robust portfolio selection via semi-definite relaxation. J. Oper. Res. Soc. 71(5): 687-699 (2020)

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