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检索条件"主题词=Pivoting algorithm"
13 条 记 录,以下是11-20 订阅
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The Optimization of the Mean-Variance Portfolio Selection with Nonsmooth Concave Transaction Costs
The Optimization of the Mean-Variance Portfolio Selection wi...
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2017 2nd International Conference on Advances in Management Engineering and Information Technology(AMEIT 2017)
作者: Fan YANG Peng ZHANG School of Economics Wuhan University of Technology
Transaction cost was an important factor in the financial *** to the situation of the underdeveloped market,we proposed a mean-variance portfolio selection model with nonsmooth concave transaction *** is nonsmooth pro... 详细信息
来源: 评论
A Parametric algorithm for Long-Short Portfolio Optimization
A Parametric Algorithm for Long-Short Portfolio Optimization
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First International Workshop on Knowledge Discovery and Data Mining
作者: Yanwu Liu~1 Zhongzhen Zhang~1 Feng Xiong~1 LIU Fang~2 1 School of Management,Wuhan University of Technology,Wuhan,P.R.China 430070 2 School of Economics,Huazhong University of Science and Technology,Wuhan P.R.China
A parametric algorithm is proposed to calculate efficient frontier of long-short *** key to the algorithm is to introduce parametric technique into the pivoting *** numerical results show that the algorithm has high c... 详细信息
来源: 评论
Portfolio optimization under constraints of margin purchase and short selling
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Wuhan Ligong Daxue Xuebao/Journal of Wuhan University of Technology 2007年 第11期29卷 148-151页
作者: Liu, Yan-Wu Zhang, Zhong-Zhen School of Management Wuhan University of Technology Wuhan 430070 China
A general portfolio optimization model was presented to take into account constraints of margin purchase and short selling, which can reflect realistic restrictions. A straightforward way of solving the model results ... 详细信息
来源: 评论