A difference of convex formulation of value-at-risk constrained optimization
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Cites work
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- Coherent measures of risk
- Combination between global and local methods for solving an optimization problem over the efficient set
- DC programming approach for portfolio optimization under step increasing transaction costs
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- scientific article; zbMATH DE number 2065140 (Why is no real title available?)
- Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
- Managing electricity market price risk
- On the global minimization of the value-at-risk
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- The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
- Undominated d.c. decompositions of quadratic functions and applications to branch-and-bound approaches
- Value at risk and inventory control
Cited in
(16)- Mean-VaR portfolio optimization: a nonparametric approach
- Computing near-optimal value-at-risk portfolios using integer programming techniques
- Value-at-risk optimization using the difference of convex algorithm
- Beyond canonical dc-optimization: the single reverse polar problem
- Convergence analysis on a smoothing approach to joint chance constrained programs
- Advances and applications of chance-constrained approaches to systems optimisation under uncertainty
- Nonlinear chance constrained problems: optimality conditions, regularization and solvers
- VaR as the CVaR sensitivity: applications in risk optimization
- On reducing a quantile optimization problem with discrete distribution to a mixed integer programming problem
- On the global minimization of the value-at-risk
- Optimal risk transfer: a numerical optimization approach
- Minimizing value-at-risk in single-machine scheduling
- An inner-outer approximation approach to chance constrained optimization
- Value at risk approach to producer's best response in an electricity market with uncertain demand
- Portfolio reshaping under 1st-order stochastic dominance constraints by the exact penalty function methods
- Solving joint chance constrained problems using regularization and Benders' decomposition
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