Portfolio replication: its forward-dual decomposition

DOI10.1023/B:AURC.0000014728.52168.9AMaRDI QIDQ1778991zbMATH OpenOpenAlexFDO

Authors A. Velichko, E. A. Nurminskii

Publication date 17 June 2005

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:aurc.0000014728.52168.9a

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Recommendations

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Cited in

(8)

• Decomposition and search techniques in disjunctive programs for portfolio selection
• Multi-market portfolio optimization with conditional value at risk
• The practice of portfolio replication. A practical overview of forward and inverse problems
• Algorithm to solve the generalized Markowitz problem
• Risk minimization through portfolio replication
• Tracking a rainfall index constrained by conditional value-at-risk
• Dynamic portfolio optimization: time decomposition using the maximum principle with a scenario approach
• scientific article; zbMATH DE number 5588947 (Why is no real title available?)

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