Francesco Cesarone, Manuel L. Martino, Fabio Tardella. Mean-Variance-VaR portfolios: MIQP formulation and performance analysis. OR Spectrum, 45(3):1043-1069, 2023. [doi]
@article{CesaroneMT23,
title = {Mean-Variance-VaR portfolios: MIQP formulation and performance analysis},
author = {Francesco Cesarone and Manuel L. Martino and Fabio Tardella},
year = {2023},
doi = {10.1007/s00291-023-00719-x},
url = {https://doi.org/10.1007/s00291-023-00719-x},
researchr = {https://researchr.org/publication/CesaroneMT23},
cites = {0},
citedby = {0},
journal = {OR Spectrum},
volume = {45},
number = {3},
pages = {1043-1069},
}