Mean Squared Variance Portfolio: A Mixed-Integer Linear Programming Formulation
The mean-variance (MV) portfolio is typically formulated as a quadratic programming (QP) problem that linearly combines the conflicting objectives of minimizing the risk and maximizing the expected return through a risk aversion profile parameter. In this formulation, the two objectives are expresse...
| Main Authors: | , , , |
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| 格式: | 文件 |
| 语言: | English |
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MDPI AG
2021-01-01
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| 丛编: | Mathematics |
| 主题: | |
| 在线阅读: | https://www.mdpi.com/2227-7390/9/3/223 |