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Portfolio Optimization

The Markowitz model is used for portfolio optimization computations.

[45] Kelley, J. E. "The Cutting-Plane Method for Solving Convex Programs." Journal of the Society for Industrial and Applied Mathematics. Vol. 8, No. 4, December 1960, pp. 703–712.

[46] Markowitz, H. "Portfolio Selection." Journal of Finance. Vol. 7, No. 1, March 1952, pp. 77–91.

[47] Markowitz, H. M. Portfolio Selection: Efficient Diversification of Investments. John Wiley & Sons, Inc., 1959.

[48] Rockafellar, R. T. and S. Uryasev. "Optimization of Conditional Value-at-Risk." Journal of Risk. Vol. 2, No. 3, Spring 2000, pp. 21–41.

[49] Rockafellar, R. T. and S. Uryasev. "Conditional Value-at-Risk for General Loss Distributions." Journal of Banking and Finance. Vol. 26, 2002, pp. 1443–1471.

[50] Konno, H. and H. Yamazaki. "Mean-Absolute Deviation Portfolio Optimization Model and Its Application to Tokyo Stock Market." Management Science. Vol. 37, No. 5, May 1991, pp. 519–531.

[51] Cornuejols, A. and R. Tütüncü. Optimization Methods in Finance. Cambridge University Press, 2007.

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