Data-driven portfolio management with quantile contraints
Year of publication: |
2015
|
---|---|
Authors: | Çetinkaya, Elçin ; Thiele, Aurélie |
Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 0171-6468, ZDB-ID 2073885-7. - Vol. 37.2015, 3, p. 761-786
|
Subject: | Data-driven optimization | Quantile constraints | Iterative algorithm | Portfolio-Management | Portfolio selection | Theorie | Theory |
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