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- W640777583 abstract "This paper investigated a mean-CVaR portfolio optimization problem with integer trading constraints. To make the constrained problem solvable, we use Monte Carlo simulation method to approximate the integral computation, and transform the original problem to a mixed-integer linear programming problem. Then, this problem can be analyzed and solved by branch-andbound method. Finally, we demonstrate our analysis procedure by an example." @default.
- W640777583 created "2016-06-24" @default.
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- W640777583 date "2015-03-31" @default.
- W640777583 modified "2023-09-24" @default.
- W640777583 title "Mean-CVaR portfolio selection with integer constraints" @default.
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- W640777583 doi "https://doi.org/10.15764/er.2015.01001" @default.
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