Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
Crossref DOI link: https://doi.org/10.1007/s10898-021-01048-5
Published Online: 2021-07-08
Published Print: 2021-10
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Kobayashi, Ken http://orcid.org/0000-0002-6609-7488
Takano, Yuichi
Nakata, Kazuhide
Text and Data Mining valid from 2021-07-08
Version of Record valid from 2021-07-08
Article History
Received: 6 August 2020
Accepted: 18 June 2021
First Online: 8 July 2021