Individual and cooperative portfolio optimization as linear program

DOI10.1007/s11590-022-01901-wzbMath1506.91157OpenAlexW4284972433MaRDI QIDQ2091212

Dawei Hao, Bogdan Grechuk

Publication date: 1 November 2022

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-022-01901-w

zbMATH Keywords

linear programmingportfolio optimizationrisk measuresdeviation measurescooperative investment

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Linear programming (90C05) Portfolio theory (91G10)

Cites Work

• CVaR norm and applications in optimization
• Synergy effect of cooperative investment
• On general minimax theorems
• Robust omega ratio optimization using regular vines
• Generalized deviations in risk analysis
• Optimality conditions in portfolio analysis with general deviation measures
• Inverse portfolio problem with mean-deviation model
• The Matching Polytope has Exponential Extension Complexity
• DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
• COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES
• Convex Analysis

This page was built for publication: Individual and cooperative portfolio optimization as linear program