Application of the quantile optimization to bond portfolio selection.

MaRDI QIDQ2782529zbMATH OpenFDO

Authors Yuri Kan

Publication date 3 April 2002

Mathematics Subject Classification ID

Stochastic programming (90C15) Portfolio theory (91G10)

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Cited in

(9)

• Fundamentals of the linearization method for quantile analysis with small random parameters
• Regularization methods for optimization problems with probabilistic constraints
• Selection of a fixed-income portfolio
• On two-stage convex chance constrained problems
• scientific article; zbMATH DE number 5696804 (Why is no real title available?)
• On stochastic linear programming problems with the quantile criterion
• Safety-first portfolio selection
• On approximate solution of the problem of formation of the fixed-income portfolio of securities
• Optimization of the area of a takeoff and landing runway

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