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Comments on "A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem".
Chang-Chun Lin
Published in:
Eur. J. Oper. Res. (2009)
Keyphrases
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integer linear programming formulation
optimal portfolio
decision making
optimal solution
portfolio optimization
portfolio selection
portfolio management
risk management
quadratic assignment problem
investment strategies
training data
bayesian networks
multi class