Takano, Yuichi; Nanjo, Keisuke; Sukegawa, Noriyoshi; … - In: Computational Management Science 12 (2015) 2, pp. 319-340
This paper studies the mean-risk portfolio optimization problem with nonconvex transaction costs. We employ the conditional value-at-risk (CVaR) as a risk measure. There are a number of studies that aim at efficiently solving large-scale CVaR minimization problems. None of these studies,...
