OGRYCZAK, WŁODZIMIERZ; ŚLIWIŃSKI, TOMASZ - In: Asia-Pacific Journal of Operational Research (APJOR) 28 (2011) 01, pp. 41-63
In the original Markowitz model for portfolio optimization the risk is measured by the variance. Several polyhedral risk measures have been introduced leading to Linear Programming (LP) computable portfolio optimization models in the case of discrete random variables represented by their...