On solving the dual for portfolio selection by optimizing Conditional Value at Risk
| Year of publication: |
2011
|
|---|---|
| Authors: | Ogryczak, Włodzimierz ; Śliwiński, Tomasz |
| Published in: |
Computational Optimization and Applications. - Springer. - Vol. 50.2011, 3, p. 591-595
|
| Publisher: |
Springer |
| Subject: | Risk measures | Portfolio optimization | Computability | Linear programming |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009404453