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Quantitative Finance Volume 20, 2020 - Issue 12: 7th International Conference on Futures and Other Derivatives (ICFOD)
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Modeling and solving portfolio selection problems based on PVaR

Yanli Huo† College of Economics and Management, China Jiliang University, Hangzhou, People's Republic of ChinaCorrespondence[email protected]
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,
Chunhui Xu‡ Faculty of Social Systems Science, Chiba Institute of Technology, Chiba, JapanView further author information
&
Takayuki Shiina§ Dept. of Industrial and Management Systems Engineering, Waseda University, Tokyo, JapanView further author information
Pages 1889-1898 | Received 23 Dec 2018, Accepted 28 Aug 2020, Published online: 12 Oct 2020

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