Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset

In the expected mean return, standard deviation portfolio selection problem, the first step is usually to derive the set of efficient portfolios, which in the space of objective function values is represented by the efficient frontier. With modern methods and software, it is an easy task even for th...

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Veröffentlicht in:	International transactions in operational research 2023-09, Vol.30 (5), p.2395-2414
Hauptverfasser:	Juszczuk, Przemysław, Kaliszewski, Ignacy, Miroforidis, Janusz, Podkopaev, Dmitry
Format:	Artikel
Sprache:	eng
Schlagworte:	efficient frontier approximation Evolutionary algorithms Heuristic Mathematical analysis mean‐variance investing Multiple objective analysis Operations research Optimization portfolio cardinality Risk risk‐free asset Standard deviation
Online-Zugang:	Volltext
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