Twenty years of linear programming based portfolio optimization
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- scientific article; zbMATH DE number 2061975
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Cited in
(53)- Enhanced index tracking with CVaR-based ratio measures
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- Factor neutral portfolios
- scientific article; zbMATH DE number 2061975 (Why is no real title available?)
- Take it to the limit: innovative CVaR applications to extreme credit risk measurement
- Linear programming models based on omega ratio for the enhanced index tracking problem
- Expected shortfall: heuristics and certificates
- A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
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- Individual and cooperative portfolio optimization as linear program
- Maximum Entropy Bi-Objective Model and its Evolutionary Algorithm for Portfolio Optimization
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