A mixed 0--1 LP for index tracking problem with CVaR risk constraints (Q1761842)
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scientific article; zbMATH DE number 6107372
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| English | A mixed 0--1 LP for index tracking problem with CVaR risk constraints |
scientific article; zbMATH DE number 6107372 |
Statements
A mixed 0--1 LP for index tracking problem with CVaR risk constraints (English)
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15 November 2012
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index tracking
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CVaR constraints
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cardinality constraints
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mixed 0--1 LP
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0.8172314763069153
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0.8117798566818237
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0.8095464706420898
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0.7992871403694153
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0.7869346141815186
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