Scenario aggregation method for portfolio expectile optimization

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Author
Jakobsons, Edgars
Date
2016-08
Type
  • Journal Article
Publication status
published
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Journal / series
Statistics and Risk Modeling
Volume
33(1-2)
Pages / Article No.
51 - 65
Publisher
R. Oldenbourg Verlag
Subject
Expectile; Linear programming; Portfolio optimization; Scenario aggregation
Notes
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