Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure (Q6056329)
From MaRDI portal
scientific article; zbMATH DE number 7744766
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure |
scientific article; zbMATH DE number 7744766 |
Statements
Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure (English)
0 references
29 September 2023
0 references
portfolio selection problem
0 references
cardinality constraint
0 references
transaction cost
0 references
scenario-based model
0 references
value-at-risk
0 references
iterative-based heuristic algorithm
0 references
0 references
0 references
