Noyan, N.

distribution portfolio measure risk measure model return problem vector value algorithm function risk measures multivariate optimization decision multivariate t approach vector x asset value-at-risk matrix result cvar values freedom decision vector x degree class covariance matrix vector y risk factors markowitz solution rockafellar relation example mean-risk management michelot journal uryasev reward figure period definition level representation michelot algorithm portfolio optimization risk management algorithm 1 paper quadprog x r n variable embrecht probability change capital portfolio selection problems ~ t y finance factor lemma portfolio selection problem selection section price computation times mean-risk model iteration covariance table 1 number mean-risk models mean-variance alternative ruszczyski deviation application proof