On the global minimization of the value-at-risk
From MaRDI portal
Publication:4657710
DOI10.1080/10556780410001704911zbMath1114.91320arXivmath/0401063MaRDI QIDQ4657710
Publication date: 14 March 2005
Published in: Optimization Methods and Software (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0401063
90C08: Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.)
Related Items
Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk, VaR optimal portfolio with transaction costs, An LPCC approach to nonconvex quadratic programs, On linear programs with linear complementarity constraints, Minimizing value-at-risk in single-machine scheduling, Constant rebalanced portfolio optimization under nonlinear transaction costs, Stochastic optimization problems with CVaR risk measure and their sample average approximation, Three modeling paradigms in mathematical programming, A polynomial optimization approach to constant rebalanced portfolio selection, \(\alpha \)-conservative approximation for probabilistically constrained convex programs, DC programming and DCA for globally solving the value-at-risk, Value-at-risk optimization using the difference of convex algorithm, Generalized order-value optimization, A difference of convex formulation of value-at-risk constrained optimization
Uses Software
Cites Work
- Convex two-level optimization
- A smoothing method for mathematical programs with equilibrium constraints
- A globally convergent sequential quadratic programming algorithm for mathematical programs with linear complementarity constraints
- Extension of quasi-Newton methods to mathematical programs with complementarity con\-straints
- A class of smoothing functions for nonlinear and mixed complementarity problems
- Convexification and global optimization in continuous and mixed-integer nonlinear programming. Theory, algorithms, software, and applications
- Smoothing methods for convex inequalities and linear complementarity problems
- The Fritz John necessary optimality conditions in the presence of equality and inequality constraints
- Convergence Properties of a Regularization Scheme for Mathematical Programs with Complementarity Constraints
- Mathematical Programs with Complementarity Constraints: Stationarity, Optimality, and Sensitivity
- An Implementable Active-Set Algorithm for Computing a B-Stationary Point of a Mathematical Program with Linear Complementarity Constraints
- Approximation to Optimization Problems: An Elementary Review
- Some Feasibility Issues in Mathematical Programs with Equilibrium Constraints
- Exact Penalization of Mathematical Programs with Equilibrium Constraints
- Smooth SQP Methods for Mathematical Programs with Nonlinear Complementarity Constraints
- Solving mathematical programs with complementarity constraints as nonlinear programs
- Dual Stochastic Dominance and Related Mean-Risk Models