Robust and Sparse Portfolio: Optimization Models and Algorithms
The robust and sparse portfolio selection problem is one of the most-popular and -frequently studied problems in the optimization and financial literature. By considering the uncertainty of the parameters, the goal is to construct a sparse portfolio with low volatility and decent returns, subject to...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-12-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/24/4925 |