Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset-Reference-Cited by-同舟云学术

Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset

Published:2022-02-03 Issue:5 Volume:30 Page:2395-2414
ISSN:0969-6016
Container-title:International Transactions in Operational Research
language:en
Short-container-title:Int Trans Operational Res

Author:

Juszczuk Przemysław¹^ORCID,Kaliszewski Ignacy²³^ORCID,Miroforidis Janusz²^ORCID,Podkopaev Dmitry²^ORCID

Affiliation:

1. Department of Machine Learning University of Economics 1 Maja 50 Katowice 40‐287 Poland

2. Systems Research Institute Polish Academy of Sciences Newelska 6 Warsaw 01‐447 Poland

3. Warsaw School of Information Technology Newelska 6 Warsaw 01‐447 Poland

Funder

Narodowe Centrum Nauki

Publisher

Wiley

Subject

Management of Technology and Innovation,Management Science and Operations Research,Strategy and Management,Computer Science Applications,Business and International Management

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/itor.13121

Reference34 articles.

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4. Computational study of a family of mixed-integer quadratic programming problems

5. Portfolio selection with skewness: A comparison of methods and a generalized one fund result

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