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]

Complete list of metadata

https://hal-centralesupelec.archives-ouvertes.fr/hal-02950869
Contributor : Abdel Lisser <>
Submitted on : Monday, September 28, 2020 - 12:37:57 PM
Last modification on : Friday, July 2, 2021 - 11:20:53 AM

A sparse chance constrained portfolio selection model with multiple constraints

Identifiers

Collections

Citation

Export

Metrics

19

A sparse chance constrained portfolio selection model with multiple constraints

Identifiers

Collections

Citation

Export

Share

Metrics

19