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0468834 - ÚTIA 2017 CZ eng V - Research Report
Branda, Martin - Červinka, Michal - Schwartz, A.
Sparse robust portfolio optimization via NLP regularizations.
Praha: ÚTIA AV ČR v. v. i., 2016. 19 s. Research Report, 2358.
R&D Projects: GA ČR GA15-00735S
Grant - others:GA ČR(CZ) GA13-01930S
Institutional support: RVO:67985556
Keywords : Conditional Value-at-Risk * Value-at-Risk * risk measure
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2016/E/branda-0468834.pdf
Permanent Link: http://hdl.handle.net/11104/0266849