Comments on ``A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem

DOI10.1016/J.EJOR.2008.01.041zbMATH Open1179.90239OpenAlexW2060220759MaRDI QIDQ953463FDOQ953463

Authors Chang-Chun Lin

Publication date 20 November 2008

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2008.01.041

zbMATH Keywords

portfolio optimizationValue-at-Risklinear integer programming

Mathematics Subject Classification ID

Portfolio theory (91G10) Mixed integer programming (90C11) Financial applications of other theories (91G80)

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Cites work

• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem

Cited in

(4)

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• Portfolio optimization with \(pw\)-robustness
• Computing near-optimal value-at-risk portfolios using integer programming techniques
• A linearized value-at-risk model with transaction costs and short selling

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