Minimizing loss probability bounds for portfolio selection
type: Item
instance of: scholarly article
title: Minimizing loss probability bounds for portfolio selection
zbMATH Open document ID: 1244.91108
author: Jun-Ya Gotoh
author: Akiko Takeda
published in: European Journal of Operational Research
publication date: 2012-08-16T00:00:00Z
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C32
zbMATH DE Number: 6066791
zbMATH Keywords: finance
zbMATH Keywords: portfolio optimization
zbMATH Keywords: CVaR (conditional value-at-risk)
zbMATH Keywords: SVM (support vector machine)
zbMATH Keywords: fractional programming
describes a project that uses: ElemStatLearn
MaRDI profile type: Publication
full work available at URL: j.ejor.2011.09.012
OpenAlex ID: W2042367866
cites work: Coherent measures of risk
cites work: A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
cites work: The sample complexity of pattern classification with neural networks: the size of the weights is more important than the size of the network
cites work: Sparse and stable Markowitz portfolios
cites work: A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
cites work: Q5462189
cites work: The elements of statistical learning. Data mining, inference, and prediction
cites work: Dual Stochastic Dominance and Related Mean-Risk Models
cites work: Safety First and the Holding of Assets
cites work: A minimax portfolio selection rule with linear programming solution
DOI: 10.1016/J.EJOR.2011.09.012
description: scientific article; zbMATH DE number 6066791