A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem-Reference-Cited by-同舟云学术

A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem

Published:2007-01 Issue:1 Volume:176 Page:423-434
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Benati Stefano,Rizzi Romeo

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference32 articles.

1. C. Acerbi, P. Simonetti, Portfolio optimization with spectral measures of risk, Abaxbank Technical Report, 2002. Available from: .

2. Credit risk optimization with Conditional Value-at-Risk criterion;Andersson;Mathematical Programming B,2001

3. Coherent measures of risk;Artzner;Mathematical Finance,1999

4. The optimal portfolio problem with coherent risk measure constraints;Benati;European Journal of Operational Research,2003

5. The computation of the worst conditional expectation;Benati;European Journal of Operational Research,2003

Cited by 113 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Trading strategies and Financial Performances: A simulation approach;International Review of Financial Analysis;2024-10

2. Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time;Mathematics;2024-07-20

3. Exact and Heuristic Solution Techniques for Mixed-Integer Quantile Minimization Problems;INFORMS Journal on Computing;2024-07

4. Portfolio reshaping under 1st-order stochastic dominance constraints by the exact penalty function methods;Optimization;2024-02-09

5. A Framework for Valuation and Portfolio Optimization of Venture Capital Deals with Contractual Terms;Mathematical Problems in Engineering;2024-01-25