References

Boyd, S., and L. Vandenberghe. 2004. Convex Optimization. Cambridge University Press.

Cajas, Dany. 2026. Riskfolio-Lib: Portfolio Optimization in Python. https://github.com/dcajasn/Riskfolio-Lib.

Fu, Anqi, Balasubramanian Narasimhan, and Stephen Boyd. 2020. “CVXR: An R Package for Disciplined Convex Optimization.” Journal of Statistical Software 94 (14): 1–34. https://doi.org/10.18637/jss.v094.i14.

Markowitz, H. M. 1952. “Portfolio Selection.” Journal of Finance 7 (1): 77–91.

Rockafellar, R. Tyrrell, and Stanislav Uryasev. 2000. “Optimization of Conditional Value-at-Risk.” Journal of Risk 2 (3): 21–41.