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Accelerated portfolio optimization with conditional value-at-risk constraints using a cutting-plane method

Georg Hofmann. Accelerated portfolio optimization with conditional value-at-risk constraints using a cutting-plane method. In Saikou Y. Diallo, Andreas Tolk, editors, Proceedings of the 48th Annual Simulation Symposium, part of the 2015 Spring Simulation Multiconference, SpringSim '15, Alexandria, VA, USA, April 12-15, 2015. pages 188-193, SCS/ACM, 2015. [doi]

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