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Portfolio-optimization models for small investors · Study

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ArticlePortfolio-optimization models for small investors

Philipp Baumann2012

OA

Articlegreen2012

Portfolio-optimization models for small investors

Philipp Baumann · Ν. Trautmann

40 citations·0/0 files stored·Mathematical Methods of Operations Research

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

2000Optimization of conditional value-at-risk 2009Lectures on Stochastic Programming: Modeling and Theory 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 2009Lectures on Stochastic Programming 1998A Minimax Portfolio Selection Rule with Linear Programming Solution 1999Heuristic algorithms for the portfolio selection problem with minimum transaction lots 2009An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints 2001Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints

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Year2012

Typearticle

Published2012-09-12

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations40

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s00186-012-0408-3

openalex_workW2051576735

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