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"Cutting plane algorithms for mean-CVaR portfolio optimization with ..."

Yuichi Takano et al. (2015)

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DOI: 10.1007/S10287-014-0209-7

access: closed

type: Journal Article

metadata version: 2021-10-14

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  - https://dblp.org/rec/journals/cms/TakanoNSM15
Yuichi Takano, Keisuke Nanjo, Noriyoshi Sukegawa, Shinji Mizuno:
Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs. Comput. Manag. Sci. 12(2): 319-340 (2015)

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