Linear vs quadratic portfolio selection models with hard real-world constraints
Year of publication: |
2015
|
---|---|
Authors: | Cesarone, Francesco ; Scozzari, Andrea ; Tardella, Fabio |
Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 12.2015, 3, p. 345-370
|
Subject: | Mixed integer linear and quadratic progranming | Portfolio performance | Conditional value-at-risk | Mean-variance | Mean semi-absolute deviation | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
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