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In this paper portfolio problems with linear loss functions and multivariate elliptical distributed returns are studied. We consider two risk measures, Value-at-Risk and Conditional-Value-at-Risk, and two types of decision makers, risk neutral and risk averse. For Value-at-Risk, we show that the...
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Cardinality constrained mean-variance (CCMV) portfolio selection problem is commonly formulated as a mixed integer quadratic program (MIQP) that can be solved by a branch-and-bound scheme or metaheuristics. Yet, computational efficiency remains to be a major issue. In this study, we propose a...
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