Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure

Farnaz Hooshmand, Z. Anoushirvani, S. A. MirHassani. Model and efficient algorithm for the portfolio selection problem with real-world constraints under value-at-risk measure. ITOR, 30(5):2665-2690, 2023. [doi]

Authors

Farnaz Hooshmand

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Z. Anoushirvani

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S. A. MirHassani

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