Computing near-optimal value-at-risk portfolios using integer programming techniques
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Publication:1754091
DOI10.1016/j.ejor.2017.09.009zbMath1403.91303arXiv2107.07339WikidataQ58051135 ScholiaQ58051135MaRDI QIDQ1754091
Juan Carlos Vera, Luis F. Zuluaga, Onur Babat
Publication date: 30 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.07339