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Avtomatika i Telemekhanika, 2011, Issue 2, Pages 77–92 (Mi at1287)  
This article is cited in 4 scientific papers (total in 4 papers)

Topical issue

Algorithm to solve the generalized Markowitz problem

A. I. Kibzun, A. I. Chernobrovov

Moscow State Aviation Institute, Moscow, Russia
Full-text PDF (266 kB) Citations (4)
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Abstract: A relation between the VaR and CVaR criteria was established in terms of income and loss. Consideration was given to the generalized Markowitz problem, and an algorithm to solve it approximately for the piecewise-linear and bilinear income functions was presented. An analytical solution was given for the case of the scalar bilinear income function under a uniform distribution of income. A numerical algorithm was presented to solve the problem in the case of multivariable bilinear income function under normal distribution of incomes.
Presented by the member of Editorial Board: A. V. Nazin

Received: 15.06.2010
English version:
Automation and Remote Control, 2011, Volume 72, Issue 2, Pages 289–304
DOI: https://doi.org/10.1134/S0005117911020081
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. I. Kibzun, A. I. Chernobrovov, “Algorithm to solve the generalized Markowitz problem”, Avtomat. i Telemekh., 2011, no. 2, 77–92; Autom. Remote Control, 72:2 (2011), 289–304
Citation in format AMSBIB
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\paper Algorithm to solve the generalized Markowitz problem
\jour Avtomat. i Telemekh.
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\pages 77--92
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\pages 289--304
\crossref{https://doi.org/10.1134/S0005117911020081}
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  • https://www.mathnet.ru/eng/at/y2011/i2/p77
    • This publication is cited in the following 4 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Avtomatika i Telemekhanika
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    Abstract page:1163
    Full-text PDF :251
    References:82
    First page:58
     
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