Scenario generation for single-period portfolio selection problems with tail risk measures : coping with high dimensions and integer variables
Jamie Fairbrother, Amanda Turner, Stein W. Wallace
| Year of publication: |
2018
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|---|---|
| Authors: | Fairbrother, Jamie ; Turner, Amanda ; Wallace, Stein W. |
| Published in: |
INFORMS journal on computing : JOC. - Catonsville, MD : INFORMS, ISSN 1091-9856, ZDB-ID 1316077-1. - Vol. 30.2018, 3, p. 472-491
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| Subject: | stochastic programming | scenario generation | portfolio selection | risk measures | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Stochastischer Prozess | Stochastic process | Messung | Measurement | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/ijoc.2017.0790 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011948065