Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
P. Kumar, Jyotirmayee Behera, A. K. Bhurjee
| Year of publication: |
2022
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|---|---|
| Authors: | Kumar, P. ; Behera, Jyotirmayee ; Bhurjee, A. K. |
| Published in: |
Opsearch : journal of the Operational Research Society of India. - New Delhi : Springer India, ISSN 0975-0320, ZDB-ID 2516085-0. - Vol. 59.2022, 1, p. 41-77
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| Subject: | Portfolio optimization | Expected return | Value-at-risk | Interval optimization | Interval analysis | Portfolio-Management | Portfolio selection | Theorie | Theory | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Kapitaleinkommen | Capital income |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s12597-021-00531-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013172045