Numerical solution of a general interval quadratic programming model for portfolio selection

Author:

Wang JianjianORCID,He Feng,Shi Xin

Funder

National Natural Science Foundation of China

the National Natural Science Foundation of China [grant numbers

the Ministry of Education Science and Technology Strategy Research Project

Publisher

Public Library of Science (PLoS)

Subject

Multidisciplinary

Reference53 articles.

1. Portfolio selection;H Markowitz;The journal of finance,1952

2. Models of capital budgeting, EV vs ES;J C T Mao;Journal of financial and quantitative analysis,1970

3. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market;H Konno;Management science,1991

4. Portfolio optimization with linear and fixed transaction costs;M S Lobo;Annals of Operations Research,2007

5. The Comparison Between Mean-variance and Mean-VaR Portfolio Models Without Short Sales;Z Peng;Chinese Journal of Management Science,2008

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