On solving the dual for portfolio selection by optimizing Conditional Value at Risk
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Bibliographic InfoArticle provided by Springer in its journal Computational Optimization and Applications.
Volume (Year): 50 (2011)
Issue (Month): 3 (December)
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Web page: http://www.springer.com/math/journal/10589
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- Guastaroba, Gianfranco & Mansini, Renata & Speranza, M. Grazia, 2009. "On the effectiveness of scenario generation techniques in single-period portfolio optimization," European Journal of Operational Research, Elsevier, vol. 192(2), pages 500-511, January.
- Miller, Naomi & Ruszczynski, Andrzej, 2008. "Risk-adjusted probability measures in portfolio optimization with coherent measures of risk," European Journal of Operational Research, Elsevier, vol. 191(1), pages 193-206, November.
- Alexandra Künzi-Bay & János Mayer, 2006. "Computational aspects of minimizing conditional value-at-risk," Computational Management Science, Springer, vol. 3(1), pages 3-27, 01.
- Alonso-Ayuso, Antonio & Carvallo, Felipe & Escudero, Laureano F. & Guignard, Monique & Pi, Jiaxing & Puranmalka, Raghav & Weintraub, Andrés, 2014. "Medium range optimization of copper extraction planning under uncertainty in future copper prices," European Journal of Operational Research, Elsevier, vol. 233(3), pages 711-726.
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