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1 A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem

Stefano Benatia, ,  and Romeo Rizzib

European Journal of Operational Research
Volume 176, Issue 1, 1 January 2007, Pages 423-434

http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VCT-4HMFJ96-1&_user=10&_coverDate=01%2F01%2F2007&_rdoc=1&_fmt=high&_orig=gateway&_origin=gateway&_sort=d&_docanchor=&view=c&_searchStrId=1710133909&_rerunOrigin=scholar.google&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=fa488226436ef5de2d1ce167a1dc3ee8&searchtype=a

2 Value at Risk for Portfolios with Short Positions
George Chow and Mark Kritzman
The Journal of Portfolio Management Spring 2002, Vol. 28, No. 3: pp. 73-81
DOI: 10.3905/jpm.2002.319845
http://www.iijournals.com/doi/abs/10.3905/jpm.2002.319845

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