Linear vs quadratic portfolio selection models with hard real-world constraints
Francesco Cesarone; Andrea Scozzari; Fabio Tardella
| Year of publication: |
2015
|
|---|---|
| Authors: | Cesarone, Francesco ; Scozzari, Andrea ; Tardella, Fabio |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 12.2015, 3, p. 345-370
|
| Subject: | Mixed integer linear and quadratic progranming | Portfolio performance | Conditional value-at-risk | Mean-variance | Mean semi-absolute deviation | 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://www.econbiz.de/10011285989