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Complexity of scenario-based portfolio optimization problem with VaR objective. (English) Zbl 1066.91053

Summary: We discuss the VaR-related portfolio optimization problems. We give a scenario-based formulation of the portfolio optimization problem with VaR objective and show that the problem is NP-hard.

MSC:

91G10 Portfolio theory
68Q17 Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.)
68Q25 Analysis of algorithms and problem complexity
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References:

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