Scenario Generation for Single-Period Portfolio Selection Problems with Tail Risk Measures: Coping with High Dimensions and Integer Variables

• Jamie Fairbrother

  Corresponding Author

  Jamie Fairbrother

  [email protected]

  http://orcid.org/0000-0001-5134-4397

  STOR-i Centre for Doctoral Training, Lancaster University, Lancaster LA1 4YR, United Kingdom

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• Amanda Turner

  Amanda Turner

  [email protected]

  STOR-i Centre for Doctoral Training, Lancaster University, Lancaster LA1 4YR, United Kingdom

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  ,
• Stein W. Wallace

  Stein W. Wallace

  [email protected]

  Department of Business and Management Science, Norwegian School of Economics, 5045 Bergen, Norway

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