Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
Yuichi Takano; Keisuke Nanjo; Noriyoshi Sukegawa; Shinji Mizuno
| Year of publication: |
2015
|
|---|---|
| Authors: | Takano, Yuichi ; Nanjo, Keisuke ; Sukegawa, Noriyoshi ; Mizuno, Shinji |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 12.2015, 2, p. 319-340
|
| Subject: | Portfolio optimization | Conditional value-at-risk | Cutting plane algorithm | Transaction costs | Mixed integer linear programming | Transaktionskosten | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Risikomaß | Risk measure |
| 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://ebvufind01.dmz1.zbw.eu/10010513407