机译:A combinatorial optimization approach to scenario filtering in portfolio selection
Inst Math Univ Seville IMUS, Seville, Spain|Univ Seville, Dept Stat &, Seville, Spain;
Univ Roma La Sapienza, Fac Econ, MEMOTEF, Rome, Italy;
Univ Niccolo Cusano Roma, Fac Econ, Rome, Italy;
Mean-Variance optimization; Portfolio selection; Filtering methods; Mixed integer quadratic programming;