A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem (Q2432914): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 08:09, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem |
scientific article |
Statements
A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem (English)
0 references
25 October 2006
0 references
portfolio optimization
0 references
complexity theory
0 references
linear integer programming
0 references