RAROC in portfolio optimization
Panagiotis Xidonas, Christos E. Kountzakis, Christis Hassapis and Christos Staikouras
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Xidonas, Panagiotis ; Kountzakis, Christos E. ; Hassapis, Christis ; Staikouras, Christos |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 3, p. 1-14
|
| Subject: | Performance ratio | nonconvex optimization | convex optimization | augmented £-constrained method | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Nichtlineare Optimierung | Nonlinear programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786316500225 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011588136