On solving the dual for portfolio selection by optimizing Conditional Value at Risk.

Wlodzimierz Ogryczak Tomasz Sliwinski

Published in: Comput. Optim. Appl. (2011)

Keyphrases

portfolio selection
multistage stochastic
portfolio optimization
portfolio management
multiple objectives
financial markets
robust optimization
transaction costs
neural network
decision problems
primal dual
optimal portfolio