J
Jonas Palmquist
Researcher at University of Florida
Publications - 1
Citations - 729
Jonas Palmquist is an academic researcher from University of Florida. The author has contributed to research in topics: Optimization problem & Portfolio optimization. The author has an hindex of 1, co-authored 1 publications receiving 664 citations.
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Portfolio optimization with conditional value-at-risk objective and constraints
TL;DR: In this article, a new approach for optimization of Conditional Value-at-Risk (CVaR) was suggested and tested with several applications, and the approach can be used for maximizing expected returns under CVaR constraints.