Models and simulations for portfolio rebalancing
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Publication:1038764
DOI10.1007/s10614-008-9158-yzbMath1188.91201MaRDI QIDQ1038764
Publication date: 20 November 2009
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-008-9158-y
mixed integer linear programming; risk management; conditional value at risk; portfolio rebalancing; multi-period portfolio analysis
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