A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem (Q2432914)
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scientific article; zbMATH DE number 5067666
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| English | A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem |
scientific article; zbMATH DE number 5067666 |
Statements
A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem (English)
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25 October 2006
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portfolio optimization
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complexity theory
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linear integer programming
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0.95424116
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0.9183302
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0.9091184
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0.89370745
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0.89020336
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0.88901967
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