On Conditional Value-at-Risk Based Goal Programming Portfolio Selection Procedure

DOI10.1007/978-3-540-85646-7_23zbMath1176.90544OpenAlexW164059691MaRDI QIDQ3649617

Tomasz Szapiro, Bogumił Kamiński, Marcin Czupryna

Publication date: 4 December 2009

Published in: Multiobjective Programming and Goal Programming (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-85646-7_23

zbMATH Keywords

goal programmingportfolio selectionconditional value at risk

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29)

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Cites Work

• A Minimax Portfolio Selection Rule with Linear Programming Solution
• Risk Measures and Comonotonicity: A Review
• The Dual Theory of Choice under Risk
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