Pareto efficient buy and hold investment strategies under order book linked constraints
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Publication:2150763
DOI10.1007/s10479-021-03942-3zbMath1490.91180OpenAlexW3127830569MaRDI QIDQ2150763
Raquel Balbás, Beatriz Balbás, Alejandro Balbas
Publication date: 30 June 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-021-03942-3
optimal investmentcoherent riskorder booklinear approachesmultiobjective and goal programming approaches
Multi-objective and goal programming (90C29) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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