Algorithm to solve the generalized Markowitz problem (Q544777)
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scientific article; zbMATH DE number 5908349
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Algorithm to solve the generalized Markowitz problem |
scientific article; zbMATH DE number 5908349 |
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Algorithm to solve the generalized Markowitz problem (English)
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16 June 2011
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VaR and CVaR criteria
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analytical solution
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numerical algorithm
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0.84052795
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0.8322455
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0.8319491
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