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Journal Articles Journal of Global Optimization Year : 2020

A sparse chance constrained portfolio selection model with multiple constraints

Zhiping Chen
  • Function : Author
Xi'an Jiaotong University
Shen Peng
  • Function : Author
Xi'an Jiaotong University
Abdel Lisser
Laboratoire de Recherche en Informatique
CV

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Mathematics [math] Optimization and Control [math.OC] Mathematics [math] Probability [math.PR]

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https://hal-centralesupelec.archives-ouvertes.fr/hal-02950869

Submitted on : Monday, September 28, 2020-12:37:57 PM

Last modification on : Friday, March 24, 2023-2:53:18 PM

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hal-02950869 , version 1 (28-09-2020)

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Zhiping Chen, Shen Peng, Abdel Lisser. A sparse chance constrained portfolio selection model with multiple constraints. Journal of Global Optimization, 2020, 77 (4), pp.825-852. ⟨10.1007/s10898-020-00901-3⟩. ⟨hal-02950869⟩

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CNRS INSMI UMR8623 CENTRALESUPELEC TDS-MACS UNIV-PARIS-SACLAY GS-COMPUTER-SCIENCE GS-LIFE-SCIENCES-HEALTH HUB-IA
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