Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500
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Publication:5245462
DOI10.1080/14697688.2013.868027zbMath1402.91741OpenAlexW1965798008MaRDI QIDQ5245462
George Mavrotas, Panos Xidonas
Publication date: 8 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.868027
Numerical methods (including Monte Carlo methods) (91G60) Multi-objective and goal programming (90C29) Portfolio theory (91G10)
Related Items (1)
Cites Work
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