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"Sparse and robust portfolio selection via semi-definite relaxation."
Yongjae Lee et al. (2020)
- Yongjae Lee, Min Jeong Kim, Jang Ho Kim, Ju Ri Jang, Woo Chang Kim:
Sparse and robust portfolio selection via semi-definite relaxation. J. Oper. Res. Soc. 71(5): 687-699 (2020)
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