Scenario aggregation method for portfolio expectile optimization (Q308418)

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Scenario aggregation method for portfolio expectile optimization
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    title
    Scenario aggregation method for portfolio expectile optimization (English)
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    author
    Edgars Jakobsons
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    publication date
    6 September 2016
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    Mathematics Subject Classification ID
    90C05
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    91G10
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    62E17
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    zbMATH DE Number
    6623677
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    zbMATH Keywords
    expectile
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    portfolio optimization
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    linear programming
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    scenario aggregation
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    OpenAlex ID
    W3122537131
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