On the effectiveness of scenario generation techniques in single-period portfolio optimization
From MaRDI portal
Publication:1011180
DOI10.1016/j.ejor.2007.09.042zbMath1157.91359MaRDI QIDQ1011180
Publication date: 8 April 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2007.09.042
portfolio optimization; mixed integer linear programming; risk management; conditional value at risk; scenario generation
Related Items
On solving the dual for portfolio selection by optimizing conditional value at risk, Kernel search: a new heuristic framework for portfolio selection, Kernel search: an application to the index tracking problem, On the effectiveness of scenario generation techniques in single-period portfolio optimization, ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION
Uses Software
Cites Work
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