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Journal Articles European Journal of Operational Research Year : 2021

Multi-market portfolio optimization with conditional value at risk

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Stefano Nasini
School of Management
Martine Labbé
Integrated Optimization with Complex Structure
Luce Brotcorne
  • Function : Author
Integrated Optimization with Complex Structure

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Computer Science [cs] Operations Research [cs.RO]

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https://hal.inria.fr/hal-03474727

Submitted on : Friday, December 10, 2021-12:56:30 PM

Last modification on : Tuesday, December 6, 2022-12:42:13 PM

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hal-03474727 , version 1 (10-12-2021)

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Stefano Nasini, Martine Labbé, Luce Brotcorne. Multi-market portfolio optimization with conditional value at risk. European Journal of Operational Research, In press, ⟨10.1016/j.ejor.2021.10.010⟩. ⟨hal-03474727⟩

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