Distribution assumptions and risk constraints in portfolio optimization

DOI10.1007/s10287-004-0031-8zbMath1133.91028OpenAlexW2083805941MaRDI QIDQ2477612

Dietmar G. Maringer

Publication date: 14 March 2008

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-004-0031-8

zbMATH Keywords

expected lossheuristic optimizationportfolio optimizationvalue at riskrisk constraintsdistribution of returns

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

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