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Article: A Mean-Variance Portfolio Selection Problem Subject To A Benchmark Constraint: An Existence Result

TitleA Mean-Variance Portfolio Selection Problem Subject To A Benchmark Constraint: An Existence Result
Authors
Yam, SCYung, SPZhou, J
KeywordsLagrange multiplier
mean-variance portfolio selection
optimization
Issue Date2013
Citation
Risk and Decision Analysis, 2013, v. 4, p. 25-38 How to Cite?
DOI: http://dx.doi.org/10.3233/RDA-2012-0075
Persistent Identifierhttp://hdl.handle.net/10722/189148

 

DC FieldValueLanguage
dc.contributor.authorYam, SCen_US
dc.contributor.authorYung, SPen_US
dc.contributor.authorZhou, Jen_US
dc.date.accessioned2013-09-17T14:28:04Z-
dc.date.available2013-09-17T14:28:04Z-
dc.date.issued2013en_US
dc.identifier.citationRisk and Decision Analysis, 2013, v. 4, p. 25-38en_US
dc.identifier.urihttp://hdl.handle.net/10722/189148-
dc.languageengen_US
dc.relation.ispartofRisk and Decision Analysisen_US
dc.subjectLagrange multiplier-
dc.subjectmean-variance portfolio selection-
dc.subjectoptimization-
dc.titleA Mean-Variance Portfolio Selection Problem Subject To A Benchmark Constraint: An Existence Resulten_US
dc.typeArticleen_US
dc.identifier.emailYung, SP: spyung@hku.hken_US
dc.identifier.emailZhou, J: junhua@hkusua.hku.hken_US
dc.identifier.authorityYung, SP=rp00838en_US
dc.identifier.doi10.3233/RDA-2012-0075-
dc.identifier.scopuseid_2-s2.0-84877842194-
dc.identifier.hkuros225188en_US
dc.identifier.volume4en_US
dc.identifier.spage25en_US
dc.identifier.epage38en_US

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