SSRN Electronic Journal · 2006 · 16 citations · 15 references
BusinessFinanceRisk ManagementOptimizationPortfolio ManagementQuantitative FinanceHeuristic OptimizationPortfolio OptimizationPortfolio Risk ManagementPortfolio SelectionPortfolio TheoryRisk OptimizationData-driven OptimizationDownside Risk ManagementDownside Risk Portfolio SelectionOptimal Portfolio ChoicePortfolio Choice Under RiskPortfolio Risk OptimizationRisk-sensitive Value FunctionsValue-at-risk Optimization
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Optimization by Simulated Annealing
Scott Kirkpatrick, C. D. Gelatt, M.P. Vecchi · Science · 1983 · 44.6K citations
Optimization of conditional value-at-risk
R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations
Business, Finance, Risk Management +17
Harry M. Markowitz · The Journal of Finance · 1952 · 5.3K citations
Heuristics for cardinality constrained portfolio optimisation
Tun-Jen Chang, Nigel Meade, J. E. Beasley et al. · Computers & Operations Research · 2000 · 928 citations