Random Matrix Approach for Primal-Dual Portfolio Optimization Problems
نویسندگان
چکیده
منابع مشابه
Random matrix approach for primal-dual portfolio optimization problems
In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the maximization/minimization of investment concentration under constraints of budget and investment risk (dual problem) for the case that the variances of the return rates of the assets are identical. We ...
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ژورنال
عنوان ژورنال: Journal of the Physical Society of Japan
سال: 2017
ISSN: 0031-9015,1347-4073
DOI: 10.7566/jpsj.86.124804