Xueting Cui, Xiaoling Sun 0001, Shushang Zhu, Rujun Jiang, Duan Li 0002. Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method. INFORMS Journal on Computing, 30(3):454-471, 2018. [doi]
@article{CuiSZJL18,
title = {Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method},
author = {Xueting Cui and Xiaoling Sun 0001 and Shushang Zhu and Rujun Jiang and Duan Li 0002},
year = {2018},
url = {https://www.wikidata.org/entity/Q57445386},
researchr = {https://researchr.org/publication/CuiSZJL18},
cites = {0},
citedby = {0},
journal = {INFORMS Journal on Computing},
volume = {30},
number = {3},
pages = {454-471},
}