A mixed 0-1 LP for index tracking problem with CVaR risk constraints
Meihua Wang; Chengxian Xu; Fengmin Xu; Hongang Xue
| Year of publication: |
2012
|
|---|---|
| Authors: | Wang, Meihua ; Xu, Chengxian ; Xu, Fengmin ; Xue, Hongang |
| Published in: |
Annals of operations research. - Dordrecht, The Netherlands : Springer Nature B.V., ISSN 0254-5330, ZDB-ID 252629-3. - Vol. 196.2012, p. 591-609
|
| Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Risiko | Risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009582063