{"title":"Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning","authors":"Gilles Boevi Koumou","doi":"10.1080/14697688.2024.2358954","DOIUrl":null,"url":null,"abstract":"Using an innovative representation of the weight bound constrained Markowitz's (Portfolio selection. J. Finance, 1952, 7, 77–91) mean-variance model, developed using the support vector data descrip...","PeriodicalId":20747,"journal":{"name":"Quantitative Finance","volume":"54 1","pages":""},"PeriodicalIF":1.5000,"publicationDate":"2024-07-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/14697688.2024.2358954","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
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Abstract
Using an innovative representation of the weight bound constrained Markowitz's (Portfolio selection. J. Finance, 1952, 7, 77–91) mean-variance model, developed using the support vector data descrip...
期刊介绍：
The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.
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