Optimal Asset Allocation Based on Relative Performance Under Portfolio and VaR Constraints

DONG Yinghui , WEI Siyuan, YIN Zihan

Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (9) : 2505-2519.

中国科学院数学与系统科学研究院期刊网
Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (9) : 2505-2519. DOI: 10.12341/jssms20495

Optimal Asset Allocation Based on Relative Performance Under Portfolio and VaR Constraints

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2021, 41(9): 2505-2519 https://doi.org/10.12341/jssms20495

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