On dual approaches to efficient optimization of LP computable risk measures for portfolio selection
DOI10.1142/S0217595911003041zbMATH Open1208.91138OpenAlexW2140953862MaRDI QIDQ3083548FDOQ3083548
Authors: W. Ogryczak, Tomasz Śliwiński 
Publication date: 22 March 2011
Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0217595911003041
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Cited In (9)
- Efficient optimization of the reward-risk ratio with polyhedral risk measures
- LP solvable models for portfolio optimization: a classification and computational comparison
- On solving the dual for portfolio selection by optimizing conditional value at risk
- Tangency portfolios in the lp solvable portfolio selection models
- Scenario aggregation method for portfolio expectile optimization
- A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs
- Title not available (Why is that?)
- On extending the LP computable risk measures to account downside risk
- Twenty years of linear programming based portfolio optimization
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