PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
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Publication:3487096
DOI10.15807/jorsj.33.139zbMath0706.90005OpenAlexW570426766WikidataQ89045245 ScholiaQ89045245MaRDI QIDQ3487096
Publication date: 1990
Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15807/jorsj.33.139
Convex programming (90C25) Applications of mathematical programming (90C90) Sensitivity, stability, parametric optimization (90C31) Linear programming (90C05) Management decision making, including multiple objectives (90B50) Portfolio theory (91G10)
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