Models and Simulations for Portfolio Rebalancing
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References listed on IDEAS
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- Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Twenty years of linear programming based portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 518-535.
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"Robust portfolio optimization with a hybrid heuristic algorithm,"
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Springer, vol. 9(1), pages 63-88, February.
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More about this item
KeywordsRisk management; Conditional value at risk; Portfolio rebalancing; Multi-period portfolio analysis; Mixed integer linear programming;
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