交易频率限制下基于CVaR的多周期稀疏投资组合优化
吴中明, 解国玉, 屈绍建, 王修来
Multi-period CVaR-based Sparse Portfolio Selection Optimizationunder Constraints on Trading Frequency
WU Zhongming, XIE Guoyu, QU Shaojian, WANG Xiulai
运筹与管理
.
2025, (5): 164
-169
.
DOI: 10.12005/orms.2025.0158
