Mean-Variance-VaR portfolios: MIQP formulation and performance analysis

Francesco Cesarone, Manuel L. Martino, Fabio Tardella. Mean-Variance-VaR portfolios: MIQP formulation and performance analysis. OR Spectrum, 45(3):1043-1069, 2023. [doi]

Authors

Francesco Cesarone

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Manuel L. Martino

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Fabio Tardella

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