Mean-Variance-VaR portfolios : MIQP formulation and performance analysis
Year of publication: |
2023
|
---|---|
Authors: | Cesarone, Francesco ; Martino, Manuel L. ; Tardella, Fabio |
Published in: |
OR spectrum : quantitative approaches in management. - Berlin : Springer, ISSN 1436-6304, ZDB-ID 1467029-X. - Vol. 45.2023, 3, p. 1043-1069
|
Subject: | Portfolio optimization | Asset allocation | Value-at-risk | MIQP | Multi-objective optimization | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
-
The construction of an investment portfolio using stochastic programming
Kabašinskas, Audrius, (2016)
-
Solving the value-at-risk minimisation model with linear programming techniques
Xu, Chunhui, (2016)
-
Risk return trade-off in relaxed risk parity portfolio optimization
Gambeta, Vaughn, (2020)
- More ...
-
Linear vs quadratic portfolio selection models with hard real-world constraints
Cesarone, Francesco, (2015)
-
A linear risk-return model for enhanced indexation in portfolio optimization
Bruni, Renato, (2015)
-
A Linear Risk-Return Model for Enhanced Indexation
Bruni, Renato, (2013)
- More ...