Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization (Q2231331): Difference between revisions

@@ Property / describes a project that uses @@
+Benchmarks for Optimization Software
+Normal rank
@@ Property / describes a project that uses @@
+SCIP-SDP
@@ Property / describes a project that uses: SCIP-SDP / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+OR-Library
@@ Property / describes a project that uses: OR-Library / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+Pajarito
@@ Property / describes a project that uses: Pajarito / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+SCIP
@@ Property / describes a project that uses: SCIP / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W3180472564
@@ Property / OpenAlex ID: W3180472564 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.12797
@@ Property / arXiv ID: 2005.12797 / rank @@
+Normal rank
@@ Property / cites work @@
+SCIP: solving constraint integer programs
@@ Property / cites work: SCIP: solving constraint integer programs / rank @@
+Normal rank
@@ Property / cites work @@
+CVaR minimization by the SRA algorithm
@@ Property / cites work: CVaR minimization by the SRA algorithm / rank @@
+Normal rank
@@ Property / cites work @@
+Convexity and decomposition of mean-risk stochastic programs
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Non-smooth optimization methods for computation of the Conditional Value-at-risk and portfolio optimization
+Normal rank
@@ Property / cites work @@
+Q4830373
@@ Property / cites work: Q4830373 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5149024
@@ Property / cites work: Q5149024 / rank @@
+Normal rank
@@ Property / cites work @@
+Scalable holistic linear regression
@@ Property / cites work: Scalable holistic linear regression / rank @@
+Normal rank
@@ Property / cites work @@
+Computational study of a family of mixed-integer quadratic programming problems
+Normal rank
@@ Property / cites work @@
+Q4821526
@@ Property / cites work: Q4821526 / rank @@
+Normal rank
@@ Property / cites work @@
+Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
+Normal rank
@@ Property / cites work @@
+Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
+Normal rank
@@ Property / cites work @@
+Heuristics for cardinality constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+A sparse chance constrained portfolio selection model with multiple constraints
+Normal rank
@@ Property / cites work @@
+Outer approximation with conic certificates for mixed-integer convex problems
+Normal rank
@@ Property / cites work @@
+Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+Handling CVaR objectives and constraints in two-stage stochastic models
+Normal rank
@@ Property / cites work @@
+Robust portfolios: contributions from operations research and finance
+Normal rank
@@ Property / cites work @@
+Approximated perspective relaxations: a project and lift approach
+Normal rank
@@ Property / cites work @@
+SDP diagonalizations and perspective cuts for a class of nonseparable MIQP
+Normal rank
@@ Property / cites work @@
+A framework for solving mixed-integer semidefinite programs
+Normal rank
@@ Property / cites work @@
+Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures
+Normal rank
@@ Property / cites work @@
+On the role of norm constraints in portfolio selection
+Normal rank
@@ Property / cites work @@
+Perspective reformulations of mixed integer nonlinear programs with indicator variables
+Normal rank
@@ Property / cites work @@
+Perspective Reformulation and Applications
@@ Property / cites work: Perspective Reformulation and Applications / rank @@
+Normal rank
@@ Property / cites work @@
+Integrated chance constraints: reduced forms and an algorithm
+Normal rank
@@ Property / cites work @@
+Problem-based optimal scenario generation and reduction in stochastic programming
+Normal rank
@@ Property / cites work @@
+Fast gradient descent method for mean-CVaR optimization
+Normal rank
@@ Property / cites work @@
+Stability analysis of portfolio management with conditional value-at-risk
+Normal rank
@@ Property / cites work @@
+A branch-and-cut algorithm for solving mixed-integer semidefinite optimization problems
+Normal rank
@@ Property / cites work @@
+Portfolio optimization under lower partial risk measures
+Normal rank
@@ Property / cites work @@
+Computational aspects of minimizing conditional value-at-risk
+Normal rank
@@ Property / cites work @@
+Q4552656
@@ Property / cites work: Q4552656 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
+Normal rank
@@ Property / cites work @@
+Sample average approximation with sparsity-inducing penalty for high-dimensional stochastic programming
+Normal rank
@@ Property / cites work @@
+Twenty years of linear programming based portfolio optimization
+Normal rank
@@ Property / cites work @@
+On solving the dual for portfolio selection by optimizing conditional value at risk
+Normal rank
@@ Property / cites work @@
+Multi-stage stochastic optimization applied to energy planning
+Normal rank
@@ Property / cites work @@
+Large-Scale Portfolio Optimization
@@ Property / cites work: Large-Scale Portfolio Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Q2724706
@@ Property / cites work: Q2724706 / rank @@
+Normal rank
@@ Property / cites work @@
+On a time consistency concept in risk averse multistage stochastic programming
+Normal rank
@@ Property / cites work @@
+On Kusuoka Representation of Law Invariant Risk Measures
+Normal rank
@@ Property / cites work @@
+Lectures on Stochastic Programming
@@ Property / cites work: Lectures on Stochastic Programming / rank @@
+Normal rank
@@ Property / cites work @@
+Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs
+Normal rank
@@ Property / cites work @@
+A robust approach based on conditional value-at-risk measure to statistical learning problems
+Normal rank
@@ Property / cites work @@
+BEST SUBSET SELECTION FOR ELIMINATING MULTICOLLINEARITY
+Normal rank
@@ Property / cites work @@
+Mixed integer quadratic optimization formulations for eliminating multicollinearity based on variance inflation factor
+Normal rank
@@ Property / cites work @@
+A smoothing method for solving portfolio optimization with CVaR and applications in allocation of generation asset
+Normal rank
@@ Property / cites work @@
+Q5691079
@@ Property / cites work: Q5691079 / rank @@
+Normal rank
@@ Property / cites work @@
+Data-driven risk-averse stochastic optimization with Wasserstein metric
+Normal rank
@@ Property / cites work @@
+Improving the Performance of MIQP Solvers for Quadratic Programs with Cardinality and Minimum Threshold Constraints: A Semidefinite Program Approach
+Normal rank
@@ Property / cites work @@
+Stochastic dual dynamic integer programming
@@ Property / cites work: Stochastic dual dynamic integer programming / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:2231331