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Mixed Integer Programming Formulation of the Optimal Mean/ Expected Shortfall portfolio problem

Title
Mixed Integer Programming Formulation of the Optimal Mean/ Expected Shortfall portfolio problem
Authors
KIM, BYUNG INKim, HyunjoonJang, Bong-Gyu
Date Issued
2017-11-04
Publisher
대한산업공학회
URI
https://oasis.postech.ac.kr/handle/2014.oak/41766
Article Type
Conference
Citation
대한산업공학회 추계학술대회, 2017-11-04
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