Data-driven portfolio management with quantile constraints (Q2516641)

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Data-driven portfolio management with quantile constraints
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    title
    Data-driven portfolio management with quantile constraints (English)
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    author
    Elçin Çetinkaya
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    Aurélie Thiele
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    published in
    OR Spectrum
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    publication date
    3 August 2015
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    zbMATH DE Number
    6469392
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    zbMATH Keywords
    data-driven optimization
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    quantile constraints
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    iterative algorithm
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    describes a project that uses
    urca
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    rneos
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    cccp
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