Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
Year of publication: |
2022
|
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Authors: | Kumar, P. ; Behera, Jyotirmayee ; Bhurjee, A. K. |
Published in: |
Opsearch : journal of the Operational Research Society of India. - New Delhi : Springer India, ISSN 0975-0320, ZDB-ID 2516085-0. - Vol. 59.2022, 1, p. 41-77
|
Subject: | Portfolio optimization | Expected return | Value-at-risk | Interval optimization | Interval analysis | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Mathematische Optimierung | Mathematical programming |
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