Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique (Q6177016)
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scientific article; zbMATH DE number 7732393
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique |
scientific article; zbMATH DE number 7732393 |
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Extended mean-conditional value-at-risk portfolio optimization with PADM and conditional scenario reduction technique (English)
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29 August 2023
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mean-CVaR model
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short selling
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cardinality constraints
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scenario reduction
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penalty alternating direction method
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