A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset (Q979251)
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scientific article; zbMATH DE number 5726740
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| English | A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset |
scientific article; zbMATH DE number 5726740 |
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A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset (English)
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25 June 2010
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portfolio optimization
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conditional value-at-risk (CVaR)
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smoothing method
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allocation of generation asset
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0.8121520280838013
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0.7989102005958557
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0.7896989583969116
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0.772817850112915
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0.7585289478302002
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