A Numerical Scheme for Multisignal Weight Constrained Conditioned Portfolio Optimisation Problems

Reference : A Numerical Scheme for Multisignal Weight Constrained Conditioned Portfolio Optimisat...


	Document type :	Scientific congresses, symposiums and conference proceedings : Unpublished conference
	Discipline(s) :	Business & economic sciences : Finance
	To cite this reference:	http://hdl.handle.net/10993/19959

Title :	A Numerical Scheme for Multisignal Weight Constrained Conditioned Portfolio Optimisation Problems
Language :	English
Author, co-author :	Schiltz, Jang [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
	Boissaux, Marc [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF) >]
Publication date :	17-Dec-2014
Peer reviewed :	Yes
Audience :	International
Event name :	Quantitative Methods in Finance
Event date :	December 17-20, 2014
Event organizer :	Quantitative Finance Research Centre Sydney
Event place (city) :	Sydney
Event country :	Australia
Permalink :	http://hdl.handle.net/10993/19959

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Open access	2014_4 Sydney.pdf		Author postprint	748.59 kB	View/Open

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