A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem

DOI10.1016/j.ejor.2005.07.020zbMath1137.91426OpenAlexW1994166723MaRDI QIDQ2432914

Romeo Rizzi, Stefano Benati

Publication date: 25 October 2006

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2005.07.020

zbMATH Keywords

portfolio optimizationcomplexity theorylinear integer programming

Mathematics Subject Classification ID

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Uses Software

• RiskMetrics

Cites Work

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