ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION (Q3083548): Difference between revisions

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+MaRDI publication profile
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+Coherent Measures of Risk
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+Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model
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+HYPER SENSITIVITY ANALYSIS OF PORTFOLIO OPTIMIZATION PROBLEMS
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+A Primer in Column Generation
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+Notes: A Reformulation of a Mean-Absolute Deviation Portfolio Optimization Model
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+On the effectiveness of scenario generation techniques in single-period portfolio optimization
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+Portfolio optimization under lower partial risk measures
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+On extending the LP computable risk measures to account downside risk
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+Computational aspects of minimizing conditional value-at-risk
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+Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
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+LP solvable models for portfolio optimization: a classification and computational comparison
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+Conditional value at risk and related linear programming models for portfolio optimization
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+Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
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+Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
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+A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
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+The Dual Theory of Choice under Risk
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+A Minimax Portfolio Selection Rule with Linear Programming Solution
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+Publication:3083548