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Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs |
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| Authors: | Yuichi Takano Keisuke Nanjo Noriyoshi Sukegawa Shinji Mizuno |
| Affiliation: | 1. School of Network and Information, Senshu University, 2-1-1 Higashimita, Tama-ku, Kawasaki-shi, Kanagawa, 214-8580, Japan 2. Department of Industrial Engineering and Management, Tokyo Institute of Technology, 2-12-1 Ookayama, Meguro-ku, Tokyo, 152-8552, Japan 3. Department of Industrial Engineering and Management, Tokyo Institute of Technology, 2-12-1-W9-58 Ookayama, Meguro-ku, Tokyo, 152-8552, Japan |
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| 本文献已被 SpringerLink 等数据库收录！ | |