ON DUAL APPROACHES TO EFFICIENT OPTIMIZATION OF LP COMPUTABLE RISK MEASURES FOR PORTFOLIO SELECTION
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Publication:3083548
DOI10.1142/S0217595911003041zbMath1208.91138OpenAlexW2140953862MaRDI QIDQ3083548
Tomasz Śliwiński, Włodzimierz Ogryczak
Publication date: 22 March 2011
Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0217595911003041
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On solving the dual for portfolio selection by optimizing conditional value at risk ⋮ A primal-dual aggregation algorithm for minimizing conditional value-at-risk in linear programs ⋮ Efficient optimization of the reward-risk ratio with polyhedral risk measures ⋮ Twenty years of linear programming based portfolio optimization
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