Ritesh Kumar

Indian Institute of Management (IIM), Calcutta

IIM Calcutta

Joka, Diamond Harbour Road

Calcutta 700104, West Bengal

India

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Long-Short Portfolio Optimisation in the Presence of Discrete Asset Choice Constraints and Two Risk Measures

Number of pages: 36 Posted: 12 Mar 2008
Ritesh Kumar, Gautam Mitra and Diana Roman
Indian Institute of Management (IIM), Calcutta, Brunel University London - CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications and Brunel University London - School of Information Systems, Computing and Mathematics
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Abstract:

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investment, portfolio, risk, short-selling