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.2005.07.020zbMATH Open1137.91426OpenAlexW1994166723MaRDI QIDQ2432914FDOQ2432914
Authors: Stefano Benati, Romeo Rizzi 
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
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- Comments on ``A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost
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