The column generation approach to the mean-risk model for the portfolio selection problem with spillover risk aversion
Hwayong Choi, Chungmok Lee, and Sungsoo Park
| Year of publication: |
2024
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|---|---|
| Authors: | Choi, Hwayong ; Lee, Chungmok ; Park, Sungsoo |
| Published in: |
The engineering economist : a journal devoted to the problems of capital investment. - Philadelphia, Pa. : Taylor & Francis, ISSN 1547-2701, ZDB-ID 2066279-8. - Vol. 69.2024, 1, p. 37-65
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| Subject: | column generation | Danzig-Wolfe decomposition | Portfolio optimization | spillover effect | Portfolio-Management | Portfolio selection | Spillover-Effekt | Spillover effect | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Risikoaversion | Risk aversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/0013791X.2023.2274063 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014576802