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math.OC2021
Shortest paths and location problems in a continuous framework with different -norms on different regions
Martine Labbé, Justo Puerto, Moisés Rodríguez-Madrena
In this paper we address two different related problems. We first study the problem of finding a simple shortest path in a -dimensional real space subdivided in several polyhedr…
math.OC2021
A combinatorial optimization approach to scenario filtering in portfolio selection
Justo Puerto, Federica Ricca, Moisés Rodríguez-Madrena +1
Recent studies stressed the fact that covariance matrices computed from empirical financial time series appear to contain a high amount of noise. This makes the classical Markowitz…