Long-only equal risk contribution portfolios for CVaR under discrete distributions (Q4619533): Difference between revisions

@@ Property / author @@
-Helmut E. Mausser
@@ Property / author: Helmut E. Mausser / rank @@
-Normal rank
@@ Property / author @@
+Helmut E. Mausser
@@ Property / author: Helmut E. Mausser / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+Ipopt
@@ Property / describes a project that uses: Ipopt / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+CPLEX
@@ Property / describes a project that uses: CPLEX / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697688.2018.1434317
+Normal rank
@@ Property / OpenAlex ID @@
+W2800630576
@@ Property / OpenAlex ID: W2800630576 / rank @@
+Normal rank
@@ Property / cites work @@
+Least-squares approach to risk parity in portfolio selection
+Normal rank
@@ Property / cites work @@
+Introduction to Nonlinear Optimization
@@ Property / cites work: Introduction to Nonlinear Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+A heuristic for moment-matching scenario generation
+Normal rank
@@ Property / cites work @@
+CVaR proxies for minimizing scenario-based value-at-risk
+Normal rank
@@ Property / cites work @@
+Q2724706
@@ Property / cites work: Q2724706 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2847378
@@ Property / cites work: Q2847378 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5310532
@@ Property / cites work: Q5310532 / rank @@
+Normal rank
@@ Property / cites work @@
+On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming
+Normal rank
@@ Property / Wikidata QID @@
+Q129971271
@@ Property / Wikidata QID: Q129971271 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4619533