A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 176 (2007)
Issue (Month): 1 (January)
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- Lin, Chang-Chun, 2009. "Comments on "A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem"," European Journal of Operational Research, Elsevier, vol. 194(1), pages 339-341, April.
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