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Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
Takano, Yuichi
;
Nanjo, Keisuke
;
Sukegawa, Noriyoshi
; …
- In:
Computational Management Science : CMS
12
(
2015
)
2
,
pp. 319-340
Persistent link: https://www.econbiz.de/10010513407
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