Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables (Q5136075)
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scientific article; zbMATH DE number 7277776
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables |
scientific article; zbMATH DE number 7277776 |
Statements
Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables (English)
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25 November 2020
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stochastic programming
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scenario generation
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portfolio selection
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risk measures
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