Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs (Q2355203)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs |
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Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs (English)
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21 July 2015
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portfolio optimization
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conditional value-at-risk
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cutting plane algorithm
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transaction costs
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mixed integer linear programming
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