Scenario aggregation method for portfolio expectile optimization
Year of publication: |
2016
|
---|---|
Authors: | Jakobsons, Edgars |
Published in: |
Statistics & Risk Modeling. - De Gruyter Oldenbourg, ISSN 2196-7040, ZDB-ID 2630803-4. - Vol. 33.2016, 1-2, p. 51-65
|
Publisher: |
De Gruyter Oldenbourg |
Subject: | Expectile | portfolio optimization | linear programming | scenario aggregation |
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