Yibing Chen, Xiaolei Sun, Jianping Li. Pension Fund Asset Allocation: A Mean-Variance Model with CVaR Constraints. In Petros Koumoutsakos, Michael Lees, Valeria V. Krzhizhanovskaya, Jack J. Dongarra, Peter M. A. Sloot, editors, International Conference on Computational Science, ICCS 2017, 12-14 June 2017, Zurich, Switzerland. Volume 108 of Procedia Computer Science, pages 1302-1307, Elsevier, 2017. [doi]
@inproceedings{ChenSL17-2,
title = {Pension Fund Asset Allocation: A Mean-Variance Model with CVaR Constraints},
author = {Yibing Chen and Xiaolei Sun and Jianping Li},
year = {2017},
doi = {10.1016/j.procs.2017.05.130},
url = {https://doi.org/10.1016/j.procs.2017.05.130},
researchr = {https://researchr.org/publication/ChenSL17-2},
cites = {0},
citedby = {0},
pages = {1302-1307},
booktitle = {International Conference on Computational Science, ICCS 2017, 12-14 June 2017, Zurich, Switzerland},
editor = {Petros Koumoutsakos and Michael Lees and Valeria V. Krzhizhanovskaya and Jack J. Dongarra and Peter M. A. Sloot},
volume = {108},
series = {Procedia Computer Science},
publisher = {Elsevier},
}