Data-driven portfolio management with quantile constraints (Q2516641): Difference between revisions

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+Coherent Measures of Risk
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+Random Convex Programs
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+Portfolio optimization with linear and fixed transaction costs
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+Minimax optimization of investment portfolio by quantile criterion
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+Safety First and the Holding of Assets
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+Mean-Absolute-Deviation Characteristic Lines for Securities and Portfolios
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+Value-at-risk optimization using the difference of convex algorithm
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