Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices

Ralph E. Steuer, Yue Qi, Maximilian Wimmer. Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices. European Journal of Operational Research, 313(2):628-636, March 2024. [doi]

Authors

Ralph E. Steuer

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Yue Qi

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Maximilian Wimmer

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