A sparse chance constrained portfolio selection model with multiple constraints

Zhiping Chen; Shen Peng; Abdel Lisser

doi:10.1007/s10898-020-00901-3

Journal articles

A sparse chance constrained portfolio selection model with multiple constraints

Zhiping Chen ¹ Shen Peng ¹ Abdel Lisser ²

1 Xjtu - Xi'an Jiaotong University

2 LRI - Laboratoire de Recherche en Informatique

Document type :

Journal articles

Domain :

Mathematics [math] / Optimization and Control [math.OC]

Mathematics [math] / Probability [math.PR]

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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

A sparse chance constrained portfolio selection model with multiple constraints

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A sparse chance constrained portfolio selection model with multiple constraints

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