Minimizing loss probability bounds for portfolio selection
From MaRDI portal
Publication:439383
DOI10.1016/j.ejor.2011.09.012zbMath1244.91108MaRDI QIDQ439383
Publication date: 16 August 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2011.09.012
fractional programming; portfolio optimization; finance; CVaR (conditional value-at-risk); SVM (support vector machine)
90C32: Fractional programming
91G80: Financial applications of other theories
91G10: Portfolio theory
Uses Software
Cites Work
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