Combined forecasts in portfolio optimization: a generalized approach
From MaRDI portal
Publication:1762047
DOI10.1016/j.cor.2010.09.008zbMath1251.91071MaRDI QIDQ1762047
Ozden Ustun, Refail Kasimbeyli
Publication date: 15 November 2012
Published in: Computers \& Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cor.2010.09.008
global optimization; portfolio optimization; multiple objective programming; risk management; conic scalarization; F-MSG algorithm
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