Bilevel Cutting-plane Algorithm for Solving Cardinality-constrained Mean-CVaR Portfolio Optimization Problems

Publication Information

Title

Japanese:
English:	Bilevel Cutting-plane Algorithm for Solving Cardinality-constrained Mean-CVaR Portfolio Optimization Problems

Author

Japanese:	小林健, 高野祐一, 中田和秀.
English:	Ken Kobayashi, Yuichi Takano, Kazuhide Nakata.

Language

English

Journal/Book name

Japanese:
English:

Volume, Number, Page

Published date

Nov. 2020

Publisher

Japanese:
English:

Conference name

Japanese:
English:	2020 INFORMS Annual Meeting

Conference site

Japanese:
English: