Analysis of risk measures in multiobjective optimization portfolios with cardinality constraint
Rodrigo T.N. Cardoso, Bruno Cândido Barroso, Mariana dos Santos de Oliveira, Felipe Dias Paiva
Alternative title: | Análise de risco em otimização multiobjetivo de carteiras com restrição de cardinalidade |
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Year of publication: |
2019
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Authors: | Cardoso, Rodrigo T. N. ; Barroso, Bruno Cândido ; Oliveira, Mariana dos Santos de ; Paiva, Felipe Dias |
Published in: |
Revista Brasileira de Finanças : RBFin. - Rio de Janeiro : [Verlag nicht ermittelbar], ISSN 1984-5146, ZDB-ID 2549202-0. - Vol. 17.2019, 3, p. 26-46
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Subject: | Risk measures | Cardinality constraint | Portfolio optimization | Multiobjective optimization | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Multikriterielle Entscheidungsanalyse | Multi-criteria analysis | Risikomaß | Risk measure | Risiko | Risk |
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