Mean-variance-VaR portfolios: MIQP formulation and performance analysis (Q6049405)
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scientific article; zbMATH DE number 7738712
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| English | Mean-variance-VaR portfolios: MIQP formulation and performance analysis |
scientific article; zbMATH DE number 7738712 |
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Mean-variance-VaR portfolios: MIQP formulation and performance analysis (English)
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15 September 2023
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portfolio optimization
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asset allocation
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value-at-risk
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MIQP
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multi-objective optimization
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0.8504712581634521
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0.8142301440238953
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0.8062147498130798
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0.8062147498130798
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0.7986050248146057
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