Efficient optimization of the reward-risk ratio with polyhedral risk measures
Wlodzimierz Ogryczak, Michał Pryzłuski, Tomasz Śliwiński
| Year of publication: |
December 2017
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|---|---|
| Authors: | Ogryczak, Włodzimierz ; Przyłuski, Michał ; Śliwiński, Tomasz |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 86.2017, 3, p. 625-653
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| Subject: | portfolio optimization | Reward-risk ratio | Tangency portfolio | Polyhedral risk measures | Fractional programming | Linear programming | Computation | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure | Theorie | Theory | Risiko | Risk | Messung | Measurement |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0613-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011793414