Individual and cooperative portfolio optimization as linear program
type: Item
instance of: scholarly article
title: Individual and cooperative portfolio optimization as linear program
zbMATH Open document ID: 1506.91157
author: Bogdan Grechuk
author: Dawei Hao
published in: Optimization Letters
publication date: 2022-11-01T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7610282
zbMATH Keywords: portfolio optimization
zbMATH Keywords: linear programming
zbMATH Keywords: deviation measures
zbMATH Keywords: risk measures
zbMATH Keywords: cooperative investment
MaRDI profile type: Publication
full work available at URL: s11590-022-01901-w
OpenAlex ID: W4284972433
cites work: DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION
cites work: Robust omega ratio optimization using regular vines
cites work: COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES
cites work: Inverse portfolio problem with mean-deviation model
cites work: Synergy effect of cooperative investment
cites work: CVaR norm and applications in optimization
cites work: Convex Analysis
cites work: Generalized deviations in risk analysis
cites work: Optimality conditions in portfolio analysis with general deviation measures
cites work: The Matching Polytope has Exponential Extension Complexity
cites work: On general minimax theorems
DOI: 10.1007/S11590-022-01901-W
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description: scientific article; zbMATH DE number 7610282