Work

Drawdown minimization in asset portfolio selection: MINLP models and efficient cross‐entropy algorithm

Year: 2024

Type: article

Source: International Transactions in Operational Research

DOI: 10.1111/itor.13588

Authors: M. Bayat, F. Hooshmand, S.A. MirHassani

Institution: Amirkabir University of Technology

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4405247328

FWCI: 0.616

Cites: 43

Cited by: 2

Related to: 10