Pages that link to "Item:Q989841"

The following pages link to Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization (Q989841):

Displaying 23 items.

• On the application of an augmented Lagrangian algorithm to some portfolio problems (Q285925) (← links)
• Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919) (← links)
• On solving the dual for portfolio selection by optimizing conditional value at risk (Q409275) (← links)
• A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs (Q480938) (← links)
• Detecting large risk-averse 2-clubs in graphs with random edge failures (Q513610) (← links)
• Processing second-order stochastic dominance models using cutting-plane representations (Q647395) (← links)
• Efficient optimization of the reward-risk ratio with polyhedral risk measures (Q684143) (← links)
• On efficient WOWA optimization for decision support under risk (Q962908) (← links)
• A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset (Q979251) (← links)
• Portfolio optimization with entropic value-at-risk (Q2001477) (← links)
• Discrete conditional-expectation-based simulation optimization: methodology and applications (Q2076929) (← links)
• Is being ``robust'' beneficial? A perspective from the Indian market (Q2166065) (← links)
• Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization (Q2231331) (← links)
• Stochastic quasigradient algorithm to minimize the function of integral quantile (Q2261707) (← links)
• Distributionally robust return-risk optimization models and their applications (Q2336705) (← links)
• Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs (Q2355203) (← links)
• Iterative scenario based reduction technique for stochastic optimization using conditional value-at-risk (Q2357205) (← links)
• Twenty years of linear programming based portfolio optimization (Q2514724) (← links)
• Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo (Q2962566) (← links)
• ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION (Q3083548) (← links)
• Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705) (← links)
• Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method (Q6087955) (← links)
• Portfolio selection based on extended Gini shortfall risk measures (Q6139263) (← links)