On the effectiveness of scenario generation techniques in single-period portfolio optimization
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Publication:1011180
DOI10.1016/j.ejor.2007.09.042zbMath1157.91359MaRDI QIDQ1011180
Publication date: 8 April 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2007.09.042
portfolio optimization; mixed integer linear programming; risk management; conditional value at risk; scenario generation
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Uses Software
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