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- Bertsimas, Dimitris & Lauprete, Geoffrey J. & Samarov, Alexander, 2004. "Shortfall as a risk measure: properties, optimization and applications," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1353-1381, April.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Björn Fastrich & Sandra Paterlini & Peter Winker, 2014.
"Cardinality versus q -norm constraints for index tracking,"
Taylor & Francis Journals, vol. 14(11), pages 2019-2032, November.
- Bjöern Fastrich & Sandra Paterlini & Peter Winker, 2011. "Cardinality versus q-Norm Constraints for Index Tracking," Department of Economics 0642, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Bjoern Fastrich & Sandra Paterlini & Peter Winker, 2011. "Cardinality versus q-Norm Constraints for Index Tracking," Center for Economic Research (RECent) 056, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
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- Manfred Gilli & Enrico Schumann, 2010. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, COMISEF.
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More about this item
KeywordsOptimisation heuristics; Portfolio Optimisation; Threshold Accepting;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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