On the effectiveness of scenario generation techniques in single-period portfolio optimization

European Journal of Operational Research

Volumn 192, Issue 2, 2009, Pages 500-511

  Guastaroba, Gianfranco ^a   Mansini, Renata ^a   Speranza, M Grazia ^a  

^a UNIVERSITY OF BRESCIA   (Italy)

Author keywords

Conditional value at risk; Mixed integer linear programming; Portfolio optimization; Risk management; Scenario generation

Indexed keywords

ADMINISTRATIVE DATA PROCESSING; FINANCIAL DATA PROCESSING;

CONDITIONAL VALUE AT RISK; MIXED INTEGER LINEAR PROGRAMMING; PORTFOLIO OPTIMIZATION; RISK MANAGEMENT; SCENARIO GENERATION;

RISK ASSESSMENT;

EID: 51249084983     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2007.09.042     Document Type: Article

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