Risk optimization with \(p\)-order conic constraints: a linear programming approach (Q1038319): Difference between revisions

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Latest revision as of 05:17, 2 July 2024

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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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