A linearized value-at-risk model with transaction costs and short selling (Q320109): Difference between revisions

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+Multi‐asset portfolio optimization with transaction cost
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+A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
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+A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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+A linearization method for mixed 0--1 polynomial programs
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+Robust multiobjective optimization \& applications in portfolio optimization
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+Dynamic value at risk under optimal and suboptimal portfolio policies.
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+Portfolio value-at-risk optimization for asymmetrically distributed asset returns
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+years of portfolio optimization: practical challenges and current trends
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+Comments on ``A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem''
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+Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
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+Portfolio rebalancing model using multiple criteria
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