Sign in
Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs.
Yuichi Takano
Keisuke Nanjo
Noriyoshi Sukegawa
Shinji Mizuno
Published in:
Comput. Manag. Sci. (2015)
Keyphrases
</>
portfolio optimization
cutting plane
portfolio selection
portfolio management
optimization problems
transaction costs
computational complexity
evolutionary algorithm
special case
robust optimization
risk measures
search algorithm
lower bound
search space
long term
optimization methods