Computing near-optimal Value-at-Risk portfolios using integer programming techniques
Onur Babat, Juan C. Vera, Luis F. Zuluaga
| Year of publication: |
1 April 2018
|
|---|---|
| Authors: | Babat, Onur ; Vera, Juan C. ; Zuluaga, Luis F. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 266.2018, 1 (1.4.), p. 304-315
|
| Subject: | Risk analysis | Value-at-Risk | Portfolio allocation | Integer programming relaxations | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Ganzzahlige Optimierung | Integer programming | Risikomanagement | Risk management | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.09.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011811697