Optimizing risk budgets in portfolio selection problem: A bi-level model and an efficient gradient-based algorithm

IF 2 3区工程技术 Q3 ENGINEERING, INDUSTRIAL

IISE Transactions Pub Date : 2023-07-18 DOI:10.1080/24725854.2023.2238204

M. Bayat, F. Hooshmand, S. A. MirHassani

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投资组合选择问题中的风险预算优化：一个双层模型和一个有效的基于梯度的算法

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

IISE Transactions Engineering-Industrial and Manufacturing Engineering

CiteScore

5.70

自引率

7.70%

发文量

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