Conditional value at risk and related linear programming models for portfolio optimization (Q2480247)
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scientific article; zbMATH DE number 5255838
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| English | Conditional value at risk and related linear programming models for portfolio optimization |
scientific article; zbMATH DE number 5255838 |
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Conditional value at risk and related linear programming models for portfolio optimization (English)
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31 March 2008
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portfolio optimization
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mean-risk models
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linear programming
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stochastic dominance
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conditional value at risk
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Gini's mean difference
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0.85920649766922
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0.8438741564750671
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0.8422079682350159
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0.838660478591919
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