A combinatorial optimization approach to scenario filtering in portfolio selection
Year of publication: |
2022
|
---|---|
Authors: | Puerto, Justo ; Ricca, Federica ; Rodríguez-Madrena, Moisés ; Scozzari, Andrea |
Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 142.2022, p. 1-14
|
Subject: | Filtering methods | Mean-Variance optimization | Mixed integer quadratic programming | Portfolio selection | Portfolio-Management | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Ganzzahlige Optimierung | Integer programming |
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