On the global minimization of the value-at-risk (Q4657710)

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scientific article; zbMATH DE number 2145384
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On the global minimization of the value-at-risk
scientific article; zbMATH DE number 2145384

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    title
    On the global minimization of the value-at-risk (English)
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    author
    Jong-Shi Pang
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    Sven Leyffer
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    publication date
    14 March 2005
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    Mathematics Subject Classification ID
    91B28
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    90C08
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    91B30
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    zbMATH DE Number
    2145384
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    zbMATH Keywords
    linear program with equilibrium constraints
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    smoothing
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    branch-and-cut
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    describes a project that uses
    NEOS
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    MacMPEC
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    OpenAlex ID
    W2084002138
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    arXiv ID
    math/0401063
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    cites work
     
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