Low order-value approach for solving VaR-constrained optimization problems
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Bibliographic InfoArticle provided by Springer in its journal Journal of Global Optimization.
Volume (Year): 51 (2011)
Issue (Month): 4 (December)
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Web page: http://www.springer.com/business/operations+research/journal/10898
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- Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003.
"Fluctuations and response in financial markets: the subtle nature of `random' price changes,"
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- Jón Daníelsson & Bjørn Jorgensen & Casper Vries & Xiaoguang Yang, 2008. "Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation," Annals of Finance, Springer, vol. 4(3), pages 345-367, July.
- Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2013. "Portfolio rebalancing with an investment horizon and transaction costs," Omega, Elsevier, vol. 41(2), pages 406-420.
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