Split Bregman iteration for multi-period mean variance portfolio optimization
نویسندگان
چکیده
منابع مشابه
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MaMaEuSch has been carried out with the partial support of the European Community in the framework of the Sokrates programme. The content does not necessarily reflect the position of the European Community, nor does it involve any responsibility on the part of the European Community.
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ژورنال
عنوان ژورنال: Applied Mathematics and Computation
سال: 2021
ISSN: 0096-3003
DOI: 10.1016/j.amc.2020.125715