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"Sparse tangent portfolio selection via semi-definite relaxation."

Min Jeong Kim et al. (2016)

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DOI: 10.1016/J.ORL.2016.05.012

access: closed

type: Journal Article

metadata version: 2023-06-26

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Min Jeong Kim, Yongjae Lee, Jang Ho Kim, Woo Chang Kim:
Sparse tangent portfolio selection via semi-definite relaxation. Oper. Res. Lett. 44(4): 540-543 (2016)

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