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| Randomized portfolio selection, with constraints cuts (PJO) |
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Volume 4
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Number 1
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pp. 87-112
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| Randomized portfolio selection, with constraints cuts |
| Jiang Xie, Simai He and Shuzhong Zhang |
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| Key words |
Mathematices Subject Classification |
| mean-variance model, randomization method, SDP relaxation, approximation ratio |
91B28, 68W25, 68W20 |
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| Copyright© 2011 Yokohama Publishers |
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