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"Cutting plane algorithms for mean-CVaR portfolio optimization with ..."
Yuichi Takano et al. (2015)
- Yuichi Takano, Keisuke Nanjo, Noriyoshi Sukegawa
, Shinji Mizuno:
Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs. Comput. Manag. Sci. 12(2): 319-340 (2015)
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