A difference of convex formulation of value-at-risk constrained optimization

DOI10.1080/02331931003700731zbMath1196.90088OpenAlexW1988746686WikidataQ59254965 ScholiaQ59254965MaRDI QIDQ3577837

Ronald Hochreiter, David Wozabal, Georg Ch. Pflug

Publication date: 26 July 2010

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331931003700731

zbMATH Keywords

stochastic programmingbranch-and-boundportfolio optimizationD.C. optimization

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Stochastic programming (90C15) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (14)

Solving joint chance constrained problems using regularization and Benders' decomposition ⋮ Nonlinear chance constrained problems: optimality conditions, regularization and solvers ⋮ VaR as the CVaR sensitivity: applications in risk optimization ⋮ Value-at-risk optimization using the difference of convex algorithm ⋮ Value at risk approach to producer's best response in an electricity market with uncertain demand ⋮ Beyond canonical dc-optimization: the single reverse polar problem ⋮ An Inner-Outer Approximation Approach to Chance Constrained Optimization ⋮ On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem ⋮ Minimizing value-at-risk in single-machine scheduling ⋮ Mean-VaR portfolio optimization: a nonparametric approach ⋮ Computing near-optimal value-at-risk portfolios using integer programming techniques ⋮ Optimal Risk Transfer: A Numerical Optimization Approach ⋮ Convergence analysis on a smoothing approach to joint chance constrained programs ⋮ Advances and applications of chance-constrained approaches to systems optimisation under uncertainty

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