Multi-market portfolio optimization with conditional value at risk
Stefano Nasini, Martine Labbé, Luce Brotcorne
| Year of publication: |
2022
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|---|---|
| Authors: | Nasini, Stefano ; Labbé, Martine ; Brotcorne, Luce |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 300.2022, 1 (1.7.), p. 350-365
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| Subject: | Conditional value at risk | Distributed decision making | Multi-market portfolio optimization | Polyhedral representation | Valid inequalities | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.10.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013173861