Mean-variance portfolio optimization with parameter sensitivity control

Xueting Cui, Shushang Zhu, Duan Li 0002, Jie Sun. Mean-variance portfolio optimization with parameter sensitivity control. Optimization Methods and Software, 31(4):755-774, 2016. [doi]

Authors

Xueting Cui

This author has not been identified. Look up 'Xueting Cui' in Google

Shushang Zhu

This author has not been identified. Look up 'Shushang Zhu' in Google

Duan Li 0002

This author has not been identified. Look up 'Duan Li 0002' in Google

Jie Sun

This author has not been identified. Look up 'Jie Sun' in Google