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A sparse chance constrained portfolio selection model with multiple constraints

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https://hal-centralesupelec.archives-ouvertes.fr/hal-02950869
Contributor : Abdel Lisser Connect in order to contact the contributor
Submitted on : Monday, September 28, 2020 - 12:37:57 PM
Last modification on : Sunday, June 26, 2022 - 2:54:01 AM

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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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