Computing near-optimal Value-at-Risk portfolios using integer programming techniques
Year of publication: |
1 April 2018
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Authors: | Babat, Onur ; Vera, Juan C. ; Zuluaga, Luis F. |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 266.2018, 1 (1.4.), p. 304-315
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Subject: | Risk analysis | Value-at-Risk | Portfolio allocation | Integer programming relaxations | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Ganzzahlige Optimierung | Integer programming | Risikomanagement | Risk management |
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