Properties, formulations, and algorithms for portfolio optimization using Mean-Gini criteria
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- Ruchika Sehgal & Aparna Mehra, 2019. "Enhanced indexing using weighted conditional value at risk," Annals of Operations Research, Springer, vol. 280(1), pages 211-240, September.
- Zhenlong Jiang & Ran Ji & Kuo-Chu Chang, 2020. "A Machine Learning Integrated Portfolio Rebalance Framework with Risk-Aversion Adjustment," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 13(7), pages 1-20, July.
More about this item
KeywordsMean-Gini model; Mean-Gini ratio; Portfolio optimization;
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