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On Dual Approaches to Efficient Optimization of LP Computable Risk Measures for Portfolio Selection.
Wlodzimierz Ogryczak
Tomasz Sliwinski
Published in:
Asia Pac. J. Oper. Res. (2011)
Keyphrases
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portfolio selection
risk measures
efficient optimization
portfolio optimization
robust optimization
long term
financial markets
feature selection
dynamic programming
linear programming
optimization methods
stochastic programming
risk averse