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"Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR ..."
Ken Kobayashi, Yuichi Takano, Kazuhide Nakata (2021)
- Ken Kobayashi
, Yuichi Takano, Kazuhide Nakata:
Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization. J. Glob. Optim. 81(2): 493-528 (2021)
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