COMPLEXITY OF SCENARIO-BASED PORTFOLIO OPTIMIZATION PROBLEM WITH VaR OBJECTIVE (Q3021978)
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scientific article; zbMATH DE number 2177765
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| English | COMPLEXITY OF SCENARIO-BASED PORTFOLIO OPTIMIZATION PROBLEM WITH VaR OBJECTIVE |
scientific article; zbMATH DE number 2177765 |
Statements
COMPLEXITY OF SCENARIO-BASED PORTFOLIO OPTIMIZATION PROBLEM WITH VaR OBJECTIVE (English)
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22 June 2005
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portfolio optimization
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VaR objective
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scenario-based formulation
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NP-hard
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