Comments on ``A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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Publication:953463
DOI10.1016/j.ejor.2008.01.041zbMath1179.90239OpenAlexW2060220759MaRDI QIDQ953463
Publication date: 20 November 2008
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2008.01.041
Mixed integer programming (90C11) Financial applications of other theories (91G80) Portfolio theory (91G10)
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A linearized value-at-risk model with transaction costs and short selling ⋮ Portfolio optimization with \(pw\)-robustness ⋮ Computing near-optimal value-at-risk portfolios using integer programming techniques
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