Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs

✍ Scribed by Takano, Yuichi; Nanjo, Keisuke; Sukegawa, Noriyoshi; Mizuno, Shinji

• Book ID: 125353632
• Publisher: Springer-Verlag
• Year: 2014
• Tongue: English
• Weight: 580 KB
• Volume: 12
• Category: Article
• ISSN: 1619-697X
• DOI: 10.1007/s10287-014-0209-7