A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
| Year of publication: |
2007
|
|---|---|
| Authors: | Benati, Stefano ; Rizzi, Romeo |
| Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 176.2007, 1, p. 423-434
|
| Publisher: |
Elsevier |