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Sparse and robust mean–variance portfolio optimization problems
16 references·3 citing·27 second hop
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355 cited
  • 2012Vast Portfolio Selection With Gross-Exposure Constraints337 cited
  • Cited by

    • 2019Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach44 cited
    • 2022Robust portfolio selection problems: a comprehensive review43 cited
    • 2022Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity37 cited