Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method
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Publication:5136074
DOI10.1287/IJOC.2017.0793OpenAlexW2891155381WikidataQ57445386 ScholiaQ57445386MaRDI QIDQ5136074
Li, Duan, Rujun Jiang, Xueting Cui, Xiaoling Sun, Shu-Shang Zhu
Publication date: 25 November 2020
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/ijoc.2017.0793
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Uses Software
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