Solving the value-at-risk minimisation model with linear programming techniques
Chunhui Xu, Xiaolin Huang, Yanli Huo, Shuning Wang
| Year of publication: |
2016
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|---|---|
| Authors: | Xu, Chunhui ; Huang, Xiaolin ; Huo, Yanli ; Wang, Shuning |
| Published in: |
Asian journal of management science and applications : AJMSA. - Genève [u.a.] : Inderscience Enterprises, ISSN 2049-8683, ZDB-ID 2757182-8. - Vol. 2.2015/2016, 3, p. 228-244
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| Subject: | portfolio selection | risk | value-at-risk | VaR | optimisation | linear programming | LP | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011713533