Twenty years of linear programming based portfolio optimization
Year of publication: |
2014
|
---|---|
Authors: | Mansini, Renata ; Ogryczak, Wlodzimierz ; Speranza, M. Grazia |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 234.2014, 2, p. 518-535
|
Publisher: |
Elsevier |
Subject: | Survey | LP computable mean-risk and mean-safety models | Real features | Transaction costs | Exact and heuristic algorithms |
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