Active allocation of systematic risk and control of risk sensitivity in portfolio optimization (Q2355106): Difference between revisions

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+Second-order cone programming
@@ Property / cites work: Second-order cone programming / rank @@
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+A relaxation method for nonconvex quadratically constrained quadratic programs
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+A branch and cut algorithm for nonconvex quadratically constrained quadratic programming
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+A general class of branch-and-bound methods in global optimization with some new approaches for concave minimization
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+Introduction to global optimization
@@ Property / cites work: Introduction to global optimization / rank @@
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+A simplicial branch-and-bound algorithm for solving quadratically constrained quadratic programs
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+Applications of second-order cone programming
@@ Property / cites work: Applications of second-order cone programming / rank @@
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+BARON: A general purpose global optimization software package
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+Using SeDuMi 1.02, A Matlab toolbox for optimization over symmetric cones
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+Portfolio selection with marginal risk control
@@ Property / cites work: Portfolio selection with marginal risk control / rank @@
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