Portfolio optimization with two coherent risk measures
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Publication:2022182
DOI10.1007/s10898-020-00922-yzbMath1465.90047arXiv1903.10454OpenAlexW3100673428MaRDI QIDQ2022182
Tahsin Deniz Aktürk, Çağın Ararat
Publication date: 28 April 2021
Published in: Journal of Global Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.10454
Applications of mathematical programming (90C90) Mixed integer programming (90C11) Quadratic programming (90C20) Portfolio theory (91G10) Risk models (general) (91B05)
Related Items (1)
Cites Work
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