Mean-Variance-VaR portfolios : MIQP formulation and performance analysis
Francesco Cesarone, Manuel L. Martino, Fabio Tardella
| Year of publication: |
2023
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|---|---|
| Authors: | Cesarone, Francesco ; Martino, Manuel L. ; Tardella, Fabio |
| Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 1436-6304, ZDB-ID 1467029-X. - Vol. 45.2023, 3, p. 1043-1069
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| Subject: | Portfolio optimization | Asset allocation | Value-at-risk | MIQP | Multi-objective optimization | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Kapitaleinkommen | Capital income | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00291-023-00719-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014328733