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

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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