Proceedings of the Annual Conference of the Institute of Systems, Control and Information Engineers
The 52nd Annual Conference of the Institute of Systems, Control and Information Engineers
Session ID : 3U1-4
Conference information

Host: Institute of Systems, Control and Information Engineers

Portfolio optimization model with CVaR for multiple probability levels
*Kenji Hamatani, Masao Fukushima
Author information
Keywords: portfolio optimization, Value-at-Risk, Conditional-Value-at-Risk, linear programming
CONFERENCE PROCEEDINGS FREE ACCESS

Details
Download citation RIS

(compatible with EndNote, Reference Manager, ProCite, RefWorks)

BIB TEX

(compatible with BibDesk, LaTeX)

Text
How to download citation
Contact us
Abstract
[in Japanese]
Content from these authors
© 2008 The Institute of Systems, Control and Information Engineers
Previous article Next article
Favorites & Alerts

Recently viewed articles
Share this page
feedback
 Top