Mean-CVaR Portfolio Optimization Approaches with Variable Cardinality Constraint and Rebalancing Process

This work compares Mean-CVaR portfolio optimization models with variable cardinality constraint and rebalancing process. It considers integer and continuous decision variables, the number of asset lots and asset investment rate, respectively, and the linear and non-linear formulations of CVaR. Exact...

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Veröffentlicht in:	Archives of computational methods in engineering 2021, Vol.28 (5), p.3703-3720
Hauptverfasser:	Ferreira, Fernando G. D. C., Cardoso, Rodrigo T. N.
Format:	Artikel
Sprache:	eng
Schlagworte:	Computer Science Computer Science, Interdisciplinary Applications Constraint modelling Continuity (mathematics) Cost analysis Engineering Engineering, Multidisciplinary Evolutionary algorithms Mathematical and Computational Engineering Mathematics Mathematics, Interdisciplinary Applications Multiple objective analysis Optimization Original Paper Physical Sciences Science & Technology Technology
Online-Zugang:	Volltext
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