The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors
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Publication:2160045
DOI10.1016/j.physa.2019.04.014OpenAlexW2937631521MaRDI QIDQ2160045
Zhilin Kang, Linhai Zhao, Jingyun Sun
Publication date: 2 August 2022
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2019.04.014
Applications of mathematical programming (90C90) Portfolio theory (91G10) Statistical mechanics, structure of matter (82-XX)
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