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Optimal Portfolio Selection by CVaR-Based Sharpe Ratio : Sequential Linear Programming Approach(Mathematical Models and Decision Making under Uncertainty)

机译：基于CVaR的Sharpe比率的最优投资组合选择：顺序线性规划方法（不确定性下的数学模型和决策）

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LIN Shan; OHNISHI Masamitsu;
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年度 2006
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正文语种 en
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Optimal Portfolio Selection by CVaR-Based Sharpe Ratio : Sequential Linear Programming Approach(Mathematical Models and Decision Making under Uncertainty)

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