Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
| Year of publication: |
2010
|
|---|---|
| Authors: | Lim, Churlzu ; Sherali, Hanif ; Uryasev, Stan |
| Published in: |
Computational Optimization and Applications. - Springer. - Vol. 46.2010, 3, p. 391-415
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| Publisher: |
Springer |
| Subject: | Portfolio optimization | CVaR | Nondifferentiable optimization |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008456201