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Robust portfolio rebalancing with cardinality and diversification constraints

Published:2021-03-26 Issue:10 Volume:21 Page:1707-1721
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Zhao Zhihua¹,Xu Fengmin¹,Du Donglei²,Meihua Wang³

Affiliation:

1. School of Economics and Finance, Xi'an Jiaotong University, Xi'an 710061, People's Republic of China

2. Faculty of Business Administration, University of New Brunswick, Fredericton, Canada

3. School of Economics and Management, Xidian University, Xi'an 710071, People's Republic of China

Funder

National Natural Science Foundations of China

Natural Sciences and Engineering Research Council of Canada

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2021.1879392

Reference66 articles.

1. Coherent Measures of Risk

2. Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices

3. An evolutionary heuristic for the index tracking problem

4. Iterative hard thresholding for compressed sensing

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