Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization
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Publication:3426227
DOI10.1080/02331930600816353zbMath1134.90546MaRDI QIDQ3426227
Gleb Beliakov, Adil M. Bagirov
Publication date: 8 March 2007
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331930600816353
portfolio optimization; numerical optimization; expected shortfall; non-smooth optimization; conditional value-at-risk
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Uses Software
Cites Work
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