Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization (Q2231331): Difference between revisions

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Latest revision as of 17:20, 26 July 2024

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Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
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    Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization (English)
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    29 September 2021
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    mixed-integer optimization
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    portfolio optimization
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    cardinality constraint
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    conditional value-at-risk
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    cutting-plane algorithm
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