On the role of norm constraints in portfolio selection
Jun-ya Gotoh () and
Akiko Takeda ()
Computational Management Science, 2011, vol. 8, issue 4, 323-353
Keywords: Portfolio optimization; Norm constraint; Robust portfolio; Tracking portfolio; CVaR (conditional value-at-risk); 90C90; 91G10; 62P05 (search for similar items in EconPapers)
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