Downside Risk Approach for Multi-Objective Portfolio Optimization
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Publication:5176298
DOI10.1007/978-3-642-29210-1_31zbMath1306.91132OpenAlexW202855484MaRDI QIDQ5176298
Publication date: 3 March 2015
Published in: Operations Research Proceedings (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-29210-1_31
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Cites Work
- Multiple criteria linear programming model for portfolio selection
- A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
- Conditional value at risk and related linear programming models for portfolio optimization
- A Bi-Objective Portfolio Optimization with Conditional Value-at-Risk
- A Reference Point Approach to Bi-Objective Dynamic Portfolio Optimization
