On solving the dual for portfolio selection by optimizing conditional value at risk
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Publication:409275
DOI10.1007/s10589-010-9321-yzbMath1242.90102OpenAlexW2102959012MaRDI QIDQ409275
Włodzimierz Ogryczak, Tomasz Śliwiński
Publication date: 12 April 2012
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-010-9321-y
Applications of mathematical programming (90C90) Linear programming (90C05) Portfolio theory (91G10)
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Uses Software
Cites Work
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- Scenario tree generation for multiperiod financial optimization of optimal discretization
- Credit risk optimization with conditional Value-at-Risk criterion
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