Portfolio optimization with structured products under return constraint

DOI10.2298/YJOR130803002BzbMath1461.91267OpenAlexW2084667398MaRDI QIDQ5278841

M. Baweja, Ratnesh Rajan Saxena

Publication date: 19 July 2017

Published in: Yugoslav Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2298/yjor130803002b

zbMATH Keywords

linearizationlinear optimizationrisk measuresutility criterionconditional Value-at-Risk

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

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