Data-driven portfolio management with quantile constraints
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Publication:2516641
DOI10.1007/s00291-015-0396-9zbMath1318.91177OpenAlexW1993128924MaRDI QIDQ2516641
Aurélie Thiele, Elçin Çetinkaya
Publication date: 3 August 2015
Published in: OR Spectrum (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00291-015-0396-9
Related Items (5)
Chance-constrained optimization under limited distributional information: a review of reformulations based on sampling and distributional robustness ⋮ Portfolio optimization with \(pw\)-robustness ⋮ Computing near-optimal value-at-risk portfolios using integer programming techniques ⋮ Financial optimization: optimization paradigms and financial planning under uncertainty ⋮ Volatility versus downside risk: performance protection in dynamic portfolio strategies
Uses Software
Cites Work
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