A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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Publication:2432914
DOI10.1016/j.ejor.2005.07.020zbMath1137.91426MaRDI QIDQ2432914
Publication date: 25 October 2006
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2005.07.020
90C11: Mixed integer programming
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