Risk optimization with \(p\)-order conic constraints: a linear programming approach
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Publication:1038319
DOI10.1016/j.ejor.2009.03.053zbMath1173.90472WikidataQ108918716 ScholiaQ108918716MaRDI QIDQ1038319
Policarpio Soberanis, Pavlo A. Krokhmal
Publication date: 17 November 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.03.053
stochastic programming; polyhedral approximation; portfolio optimization; risk measures; \(p\)-order conic programming; second-order conic programming
90C90: Applications of mathematical programming
90C20: Quadratic programming
90C05: Linear programming
90C15: Stochastic programming
91G10: Portfolio theory
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Uses Software
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