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Applications of Relaxed Constraint (RC) Models in Portfolio Optimization Subject to VaR, cVaR and Related Risk Constraints

Atwood, Joseph
2019
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Title
Applications of Relaxed Constraint (RC) Models in Portfolio Optimization Subject to VaR, cVaR and Related Risk Constraints
Author(s)
Atwood, Joseph
Subject(s)
Issue Date
4/5/2019
Publication Type
Conference Paper/ Presentation
Digital Object Identifier
https://doi.org/10.22004/ag.econ.288090
Record Identifier
https://ageconsearch.umn.edu/record/288090
Language
English
Record Appears in
Regional Research Projects > Southern Association of Agriculture Experiment Station Directors (SAAESD) > SCC-76: Economics and Management of Risk in Agriculture and Natural Resources > SCC-76 Meeting, 2019, April 4-6, Kansas City, Missouri

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