RAROC in portfolio optimization
Year of publication: |
September 2016
|
---|---|
Authors: | Xidonas, Panagiotis ; Kountzakis, Christos E. ; Hassapis, Christis ; Staikouras, Christos |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 3, p. 1-14
|
Subject: | Performance ratio | nonconvex optimization | convex optimization | augmented £-constrained method | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
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