On the role of norm constraints in portfolio selection
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- Behr, Patrick & Guettler, Andre & Miebs, Felix, 2013. "On portfolio optimization: Imposing the right constraints," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1232-1242.
- Yen, Yu-Min & Yen, Tso-Jung, 2014. "Solving norm constrained portfolio optimization via coordinate-wise descent algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 737-759.
- Dimitris Bertsimas & Akiko Takeda, 2015. "Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach," Computational Optimization and Applications, Springer, vol. 62(3), pages 613-639, December.
- Guillaume Coqueret, 2015. "Diversified minimum-variance portfolios," Annals of Finance, Springer, vol. 11(2), pages 221-241, May.
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More about this item
KeywordsPortfolio optimization; Norm constraint; Robust portfolio; Tracking portfolio; CVaR (conditional value-at-risk); 90C90; 91G10; 62P05;
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