Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization (Q2231331)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization |
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Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization (English)
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29 September 2021
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mixed-integer optimization
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portfolio optimization
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cardinality constraint
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conditional value-at-risk
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cutting-plane algorithm
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