Sparse portfolio rebalancing model based on inverse optimization

Author： Wang Meihua Xu Fengmin Wang Guan

ISSN： 1055-6788

Source： Optimization Methods and Software, Vol.29, Iss.2, 2014-03, pp. : 297-309

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts

By Mittal Garima Mehlawat Mukesh Kumar

Optimization, Vol. 63, Iss. 10, 2014-10 ,pp. : 1595-1613

Taylor & Francis Ltd

Access to resources Recommend Favorite

Robust dropping criteria for F-norm minimization based sparse approximate inverse preconditioning

By Jia Zhongxiao Zhang Qian

Bit Numerical Mathematics, Vol. 53, Iss. 4, 2013-12 ,pp. : 959-985

Springer Publishing Company

Access to resources Recommend Favorite

An Aerodynamic Optimization Method Based on the Inverse Problem Adjoint Equations

By Iollo A. Ferlauto M. Zannetti L.

Journal of Computational Physics, Vol. 173, Iss. 1, 2001-10 ,pp. : 87-115

Academic Press

Access to resources Recommend Favorite

Inverse estimation of cardiac activation times via gradient‐based optimization

INTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN BIOMEDICAL ENGINEERING (ELECTRONIC), Vol. 34, Iss. 2, 2018-02 ,pp. : n/a-n/a

John Wiley & Sons Inc

Access to resources Recommend Favorite

Mean-variance portfolio selection based on a generalized BNS stochastic volatility model

By Dai Wanyang

International Journal of Computer Mathematics, Vol. 88, Iss. 16, 2011-11 ,pp. : 3521-3534

Taylor & Francis Ltd

Access to resources Recommend Favorite