On the effectiveness of scenario generation techniques in single-period portfolio optimization (Q1011180)
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scientific article; zbMATH DE number 5541383
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the effectiveness of scenario generation techniques in single-period portfolio optimization |
scientific article; zbMATH DE number 5541383 |
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On the effectiveness of scenario generation techniques in single-period portfolio optimization (English)
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8 April 2009
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risk management
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conditional value at risk
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portfolio optimization
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scenario generation
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mixed integer linear programming
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