Scenario generation for single-period portfolio selection problems with tail risk measures: coping with high dimensions and integer variables
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- Jamie Fairbrother & Amanda Turner & Stein W. Wallace, 2018. "Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables," INFORMS Journal on Computing, INFORMS, vol. 30(3), pages 472-491, August.
References listed on IDEAS
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- Wei Zhang & Kai Wang & Alexandre Jacquillat & Shuaian Wang, 2023. "Optimized Scenario Reduction: Solving Large-Scale Stochastic Programs with Quality Guarantees," INFORMS Journal on Computing, INFORMS, vol. 35(4), pages 886-908, July.
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This paper has been announced in the following NEP Reports:- NEP-RMG-2015-11-21 (Risk Management)
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