"Portfolio Optimization with Nonparametric Value at Risk: A Block ..."

Xueting Cui et al. (2018)

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DOI: 10.1287/IJOC.2017.0793

access: closed

type: Journal Article

metadata version: 2020-03-15

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Xueting Cui, Xiaoling Sun, Shushang Zhu, Rujun Jiang, Duan Li:
Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method. INFORMS J. Comput. 30(3): 454-471 (2018)

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