Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization (Q2231331)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization |
scientific article |
Statements
Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization (English)
0 references
29 September 2021
0 references
mixed-integer optimization
0 references
portfolio optimization
0 references
cardinality constraint
0 references
conditional value-at-risk
0 references
cutting-plane algorithm
0 references
