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  • Search: subject:"LP computable mean-risk and mean-safety models"
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Subject
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Exact and heuristic algorithms 2 LP computable mean-risk and mean-safety models 2 Real features 2 Survey 2 Transaction costs 2 Algorithm 1 Algorithmus 1 Heuristics 1 Heuristik 1 Mathematical programming 1 Mathematische Optimierung 1 Portfolio selection 1 Portfolio-Management 1 Theorie 1 Theory 1 Transaktionskosten 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Mansini, Renata 2 Ogryczak, Wlodzimierz 1 Ogryczak, Włodzimierz 1 Speranza, M. Grazia 1 Speranza, Maria Grazia 1
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European Journal of Operational Research 1 European journal of operational research : EJOR 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Twenty years of linear programming based portfolio optimization
Mansini, Renata; Ogryczak, Wlodzimierz; Speranza, M. Grazia - In: European Journal of Operational Research 234 (2014) 2, pp. 518-535
Markowitz formulated the portfolio optimization problem through two criteria: the expected return and the risk, as a measure of the variability of the return. The classical Markowitz model uses the variance as the risk measure and is a quadratic programming problem. Many attempts have been made...
Persistent link: https://www.econbiz.de/10010730178
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Cover Image
Twenty years of linear programming based portfolio optimization
Mansini, Renata; Ogryczak, Włodzimierz; Speranza, … - In: European journal of operational research : EJOR 234 (2014) 2, pp. 518-535
Persistent link: https://www.econbiz.de/10010356709
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