"A new global algorithm for factor-risk-constrained mean-variance portfolio ..."

Huixian Wu et al. (2023)

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DOI: 10.1007/S10898-022-01218-Z

access: closed

type: Journal Article

metadata version: 2023-11-13

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Huixian Wu, Hezhi Luo, Xianye Zhang, Jianzhen Liu:
A new global algorithm for factor-risk-constrained mean-variance portfolio selection. J. Glob. Optim. 87(2): 503-532 (2023)

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