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Linear and Mixed Integer Programming for Portfolio Optimization
Mansini, Renata, (2015)
Survey of multi-objective portfolio optimization by linear and mixed integer programming
Sawik, Bartosz, (2013)
Optimierung eines Portfolios mit hydro-thermischem Kraftwerkspark im börslichen Strom- und Gasterminmarkt
Bagemihl, Joachim, (2003)
Enhanced index tracking with CVaR-based ratio measures
Guastaroba, Gianfranco, (2020)
Linear programming models based on omega ratio for the enhanced index tracking problem
Guastaroba, Gianfranco, (2016)
Twenty years of linear programming based portfolio optimization
Mansini, Renata, (2014)