A combinatorial optimization approach to scenario filtering in portfolio selection

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Veröffentlicht in:Computers & operations research
1. Verfasser: Puerto, Justo (VerfasserIn)
Weitere Verfasser: Ricca, Federica (VerfasserIn), Rodríguez-Madrena, Moisés (VerfasserIn), Scozzari, Andrea (VerfasserIn)
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Sprache:eng
Veröffentlicht: 2022
Schlagworte:
Filtering methods > Mean-Variance optimization > Mixed integer quadratic programming > Portfolio selection > Aufsatz in Zeitschrift
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