A mixed 0--1 LP for index tracking problem with CVaR risk constraints (Q1761842)

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A mixed 0--1 LP for index tracking problem with CVaR risk constraints
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    A mixed 0--1 LP for index tracking problem with CVaR risk constraints (English)
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    15 November 2012
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    index tracking
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    CVaR constraints
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    cardinality constraints
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    mixed 0--1 LP
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