Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs (Q2355203)
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scientific article; zbMATH DE number 6460773
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| English | Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs |
scientific article; zbMATH DE number 6460773 |
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Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs (English)
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21 July 2015
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portfolio optimization
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conditional value-at-risk
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cutting plane algorithm
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transaction costs
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mixed integer linear programming
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0.8137755990028381
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0.8031895160675049
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0.8015444874763489
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0.8014850616455078
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