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:	Journal of Global Optimization

Volume, Number, Page

Vol. 81 pp. 493-528

Published date

Aug. 2021

Publisher

Japanese:
English:

Conference name

Japanese:
English:

Conference site

Japanese:
English: