Risk optimization with \(p\)-order conic constraints: a linear programming approach (Q1038319): Difference between revisions
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English | Risk optimization with \(p\)-order conic constraints: a linear programming approach |
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Risk optimization with \(p\)-order conic constraints: a linear programming approach (English)
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17 November 2009
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\(p\)-order conic programming
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second-order conic programming
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polyhedral approximation
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risk measures
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stochastic programming
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portfolio optimization
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