Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure
F. Hooshmand, Z. Anoushirvani and S.A. MirHassani
| Year of publication: |
2023
|
|---|---|
| Authors: | Hooshmand, F. ; Anoushirvani, Z. ; MirHassani, S. A. |
| Published in: |
International transactions in operational research : a journal of the International Federation of Operational Research Societies. - Oxford : Wiley-Blackwell, ISSN 1475-3995, ZDB-ID 2019815-2. - Vol. 30.2023, 5, p. 2665-2690
|
| Subject: | cardinality constraint | iterative-based heuristic algorithm | portfolio selection problem | scenario-based model | transaction cost | value-at-risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Heuristik | Heuristics | Algorithmus | Algorithm | Transaktionskosten | Transaction costs | Risikomanagement | Risk management |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/itor.13239 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014261204