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- W2948557569 abstract "This paper investigates a novel optimization problem motivated by sparse, sustainable and stable portfolio selection. The existing benchmark portfolio via the Dantzig type optimization is used to construct a sparse, sustainable and stable portfolio. Based on the formulations, this paper proposes two portfolio selection methods, west and north portfolio selection, and investigates their empirical properties. Numerical results presented for 12 datasets and various simulated data show that the west selection can reduce risk, and the north selection may outperform the benchmark as to risk-adjusted returns (based on, e.g., information ratio and Sharpe ratio)." @default.
- W2948557569 created "2019-06-14" @default.
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- W2948557569 date "2019-06-10" @default.
- W2948557569 modified "2023-10-15" @default.
- W2948557569 title "Dantzig Type Optimization Method with Applications to Portfolio Selection" @default.
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- W2948557569 doi "https://doi.org/10.3390/su11113216" @default.
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