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COMPLEXITY OF SCENARIO-BASED PORTFOLIO OPTIMIZATION PROBLEM WITH VaR OBJECTIVE - MaRDI portal

COMPLEXITY OF SCENARIO-BASED PORTFOLIO OPTIMIZATION PROBLEM WITH VaR OBJECTIVE

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Publication:3021978

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DOI10.1142/S0129054102001370zbMath1066.91053MaRDI QIDQ3021978

Rongjun Liu, Shuo Tao, Xiao-guang Yang, Mao-cheng Cai

Publication date: 22 June 2005

Published in: International Journal of Foundations of Computer Science (Search for Journal in Brave)

zbMATH Keywords

NP-hard portfolio optimization scenario-based formulation VaR objective

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17) Portfolio theory (91G10)

Related Items (1)

Value-at-risk support vector machine: stability to outliers

Cites Work

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