Computing near-optimal value-at-risk portfolios using integer programming techniques (Q1754091)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Computing near-optimal value-at-risk portfolios using integer programming techniques |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Computing near-optimal value-at-risk portfolios using integer programming techniques |
scientific article |
Statements
Computing near-optimal value-at-risk portfolios using integer programming techniques (English)
0 references
30 May 2018
0 references
risk analysis
0 references
value-at-risk
0 references
portfolio allocation
0 references
integer programming relaxations
0 references
0 references
0 references
0 references
0 references
0 references
0.8610476851463318
0 references
0.8143977522850037
0 references
0.8142301440238953
0 references
0.7967509031295776
0 references
0.7880647778511047
0 references
