Scenario-based stochastic model and efficient cross-entropy algorithm for the risk-budgeting problem

DOI10.1007/s10479-024-06227-7MaRDI QIDQ6644358

S. A. MirHassani, F. Hooshmand, Morteza Bayat

Publication date: 27 November 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

portfolio selection problemcardinality constraintcross-entropy algorithmrisk budgeting problemstochastic bi-level model

Mathematics Subject Classification ID

Mathematical programming (90Cxx) Actuarial science and mathematical finance (91Gxx) Operations research, mathematical programming (90-XX)

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