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Optimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach.

Michaël SchynsYves CramaG. Hübner
Published in: Ann. Oper. Res. (2010)
Keyphrases
  • optimal selection
  • decision making
  • portfolio management
  • portfolio optimization
  • real world
  • risk management
  • dynamic programming
  • decision makers
  • constraint programming
  • market data