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20222025
most citedPortfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization

2 citations · 5 across the 7 of their papers we have counts for

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math.OC2025

An Operator Splitting Method for Large-Scale CVaR-Constrained Quadratic Programs

Eric Luxenberg, David Pérez-Piñeiro, Steven Diamond +1

We introduce a fast and scalable method for solving quadratic programs with conditional value-at-risk (CVaR) constraints. While these problems can be formulated as standard quadrat…