A difference of convex formulation of value-at-risk constrained optimization (Q3577837): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/02331931003700731
+Normal rank
@@ Property / OpenAlex ID @@
+W1988746686
@@ Property / OpenAlex ID: W1988746686 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q59254965
@@ Property / Wikidata QID: Q59254965 / rank @@
+Normal rank
@@ Property / cites work @@
+An efficient algorithm for globally minimizing a quadratic function under convex quadratic constraints
+Normal rank
@@ Property / cites work @@
+Combination between global and local methods for solving an optimization problem over the efficient set
+Normal rank
@@ Property / cites work @@
+A continuous approch for globally solving linearly constrained quadratic
+Normal rank
@@ Property / cites work @@
+The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
+Normal rank
@@ Property / cites work @@
+Undominated d.c. decompositions of quadratic functions and applications to branch-and-bound approaches
+Normal rank
@@ Property / cites work @@
+A branch-reduce-cut algorithm for the global optimization of probabilistically constrained linear programs
+Normal rank
@@ Property / cites work @@
+Optimal Portfolios with Bounded Capital at Risk
@@ Property / cites work: Optimal Portfolios with Bounded Capital at Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic value at risk under optimal and suboptimal portfolio policies.
+Normal rank
@@ Property / cites work @@
+Q4459806
@@ Property / cites work: Q4459806 / rank @@
+Normal rank
@@ Property / cites work @@
+DC programming: overview.
@@ Property / cites work: DC programming: overview. / rank @@
+Normal rank
@@ Property / cites work @@
+DC programming approach for portfolio optimization under step increasing transaction costs
+Normal rank
@@ Property / cites work @@
+Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
+Normal rank
@@ Property / cites work @@
+On the global minimization of the value-at-risk
@@ Property / cites work: On the global minimization of the value-at-risk / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimization under the Value-at-Risk constraint
+Normal rank
@@ Property / cites work @@
+Value at risk and inventory control
@@ Property / cites work: Value at risk and inventory control / rank @@
+Normal rank
@@ Property / cites work @@
+A firm's optimizing behaviour under a value-at-risk constraint
+Normal rank
@@ Property / cites work @@
+Managing electricity market price risk
@@ Property / cites work: Managing electricity market price risk / rank @@
+Normal rank