Improving mean variance optimization through sparse hedging restrictions
Year of publication: |
December 2015
|
---|---|
Authors: | Goto, Shingo ; Yan, Xu |
Published in: |
Journal of financial and quantitative analysis : JFQA. - New York, NY [u.a.] : Cambridge University Press, ISSN 0022-1090, ZDB-ID 219406-5. - Vol. 50.2015, 6, p. 1415-1441
|
Subject: | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Herdenverhalten | Herding | Kapitalmarktrendite | Capital market returns | Welt | World | 1963-2004 |
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