Random Matrix Approach for Primal-Dual Portfolio Optimization Problems
Random Matrix Approach for Primal-Dual Portfolio Optimization Problems
In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the maximization/minimization of investment concentration under constraints of budget and investment risk (dual problem) for the case that the variances of the return rates of …