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"Mean-Variance-VaR portfolios: MIQP formulation and performance analysis."

Francesco Cesarone, Manuel L. Martino, Fabio Tardella (2023)

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DOI: 10.1007/S00291-023-00719-X

access: open

type: Journal Article

metadata version: 2023-09-12

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  dblp key:
  - journals/ors/CesaroneMT23
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Francesco Cesarone, Manuel L. Martino, Fabio Tardella:
Mean-Variance-VaR portfolios: MIQP formulation and performance analysis. OR Spectr. 45(3): 1043-1069 (2023)

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