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Twenty years of linear programming based portfolio optimization · Study

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ArticleTwenty years of linear programming based portfolio optimization

Renata Mansini2013

Article2013

Twenty years of linear programming based portfolio optimization

Renata Mansini · Włodzimierz Ogryczak · Maria Grazia Speranza

218 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Optimization and Mathematical Programming

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 218 citations exist upstream.

References

1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 2000Optimization of conditional value-at-risk 1959Portfolio Selection: Efficient Diversification of Investments 2002Conditional value-at-risk for general loss distributions 1962Portfolio Selection: Efficient Diversification of Investments.1994Modelling of extremal events in insurance and finance 1952Safety First and the Holding of Assets

Cited by

2021Artificial Intelligence Applied to Stock Market Trading: A Review 2019A comprehensive review of deterministic models and applications for mean-variance portfolio optimization 2015Multiple criteria decision aiding for finance: An updated bibliographic survey 2018Fuzzy Portfolio Optimization of Power Generation Assets 2018On the increasing importance of multiple criteria decision aid methods for portfolio selection 2015Artificial bee colony algorithm for constrained possibilistic portfolio optimization problem 2019Portfolio optimization with entropic value-at-risk 2015Linear programming models based on Omega ratio for the Enhanced Index Tracking Problem

Details

Year2013

Typearticle

Published2013-09-03

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations218

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/j.ejor.2013.08.035

openalex_workW2165129372

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