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A mixed 0–1 LP for index tracking problem with CVaR risk constraints

Meihua, Wang; Chengxian, Xu; Fengmin, Xu; Hongang, Xue
Annals of Operations Research , Volume 196 (1) Springer JournalsJul 1, 2012

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Title
A mixed 0–1 LP for index tracking problem with CVaR risk constraints
Author(s)
Meihua, Wang; Chengxian, Xu; Fengmin, Xu; Hongang, Xue
Journal
Annals of Operations Research , Volume 196 (1) Springer Journals – Jul 1, 2012
Publisher
Springer US
Copyright
Copyright © 2012 by Springer Science+Business Media, LLC
Subject
Economics / Management Science; Operations Research/Decision Theory; Theory of Computation; Combinatorics
ISSN
0254-5330
eISSN
1572-9338
D.O.I.
10.1007/s10479-011-1042-9
Publisher site
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