Minimizing loss probability bounds for portfolio selection (Q439383)

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Minimizing loss probability bounds for portfolio selection
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    title
    Minimizing loss probability bounds for portfolio selection (English)
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    author
    Jun-Ya Gotoh
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    Akiko Takeda
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    publication date
    16 August 2012
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    Mathematics Subject Classification ID
    91G80
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    91G10
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    90C32
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    zbMATH DE Number
    6066791
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    zbMATH Keywords
    finance
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    portfolio optimization
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    CVaR (conditional value-at-risk)
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    SVM (support vector machine)
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    fractional programming
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    OpenAlex ID
    W2042367866
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