Scenario aggregation method for portfolio expectile optimization (Q308418)
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scientific article; zbMATH DE number 6623677
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Scenario aggregation method for portfolio expectile optimization |
scientific article; zbMATH DE number 6623677 |
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Scenario aggregation method for portfolio expectile optimization (English)
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6 September 2016
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expectile
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portfolio optimization
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linear programming
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scenario aggregation
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0.8009143471717834
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0.7901167273521423
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0.7538944482803345
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0.7529510855674744
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0.7451677918434143
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