Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables
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Publication:5136075
DOI10.1287/ijoc.2017.0790OpenAlexW2606727863MaRDI QIDQ5136075
Stein W. Wallace, Jamie Fairbrother, Amanda G. Turner
Publication date: 25 November 2020
Published in: INFORMS Journal on Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1511.04935
Related Items
Special issue: topics in stochastic programming, Problem-driven scenario generation: an analytical approach for stochastic programs with tail risk measure
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Cites Work
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