A linear stochastic programming model for optimal leveraged portfolio selection
Year of publication: |
April 2018
|
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Authors: | Valladão, Davi Michel ; Veiga, Alvaro ; Street, Alexandre |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 51.2018, 4, p. 1021-1032
|
Subject: | Leveraged portfolio selection | Efficient frontier | Stochastic programming | Conditional value-at-risk | Theorie | Theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
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