Multi-market portfolio optimization with conditional value at risk
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Publication:2670592
DOI10.1016/J.EJOR.2021.10.010zbMATH Open1495.91107OpenAlexW3205905642MaRDI QIDQ2670592FDOQ2670592
Authors: Stefano Nasini, Martine Labbé, L. Brotcorne 
Publication date: 11 March 2022
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2021.10.010
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conditional value at riskvalid inequalitiesdistributed decision makingpolyhedral representationmulti-market portfolio optimization
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Cited In (5)
- A cooperative bargaining framework for decentralized portfolio optimization
- A bi-level programming approach for global investment strategies with financial intermediation
- Optimization with Multivariate Conditional Value-at-Risk Constraints
- Nonsmooth hierarchical multi portfolio selection
- First passage times in portfolio optimization: a novel nonparametric approach
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