Data-driven portfolio management with quantile contraints

Elçin Çetinkaya; Aurélie Thiele

Year of publication:	2015
Authors:	Çetinkaya, Elçin ; Thiele, Aurélie
Published in:	OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 37.2015, 3, p. 761-786
Subject:	Data-driven optimization \| Quantile constraints \| Iterative algorithm \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming \| Algorithmus \| Algorithm

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