Scenario Generation for Single-Period Portfolio Selection...

INFORMS Journal on Computing 2018 / 08 Vol. 30; Iss. 3

Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables

Fairbrother, Jamie, Turner, Amanda, Wallace, Stein W.
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Volume:
30
Language:
english
Journal:
INFORMS Journal on Computing
DOI:
10.1287/ijoc.2017.0790
Date:
August, 2018
File:
PDF, 578 KB
english, 2018
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