Low order-value approach for solving var-constrained optimization problems
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Cites work
- scientific article; zbMATH DE number 5587341 (Why is no real title available?)
- scientific article; zbMATH DE number 3309655 (Why is no real title available?)
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- On the Constant Positive Linear Dependence Condition and Its Application to SQP Methods
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- Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation
- Order-value optimization: formulation and solution by means of a primal Cauchy method
- Portfolio optimization with linear and fixed transaction costs
- Portfolio selection and transactions costs
- Quais-Newton methods for order-value optimization and value-at-risk calculations
- Slopes of shadow prices and Lagrange multipliers
- Stochastic combinatorial optimization with controllable risk aversion level
- VaR optimal portfolio with transaction costs
- \(\alpha BB\): A global optimization method for general constrained nonconvex problems
Cited in
(11)- Quais-Newton methods for order-value optimization and value-at-risk calculations
- A relaxed constant positive linear dependence constraint qualification and applications
- On the application of an augmented Lagrangian algorithm to some portfolio problems
- Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics
- Global order-value optimization by means of a multistart harmonic oscillator tunneling strategy
- A robust method based on LOVO functions for solving least squares problems
- Generalized order-value optimization
- VaR optimal portfolio with transaction costs
- Optimality condition and complexity of order-value optimization problems and low order-value optimization problems
- The risk-averse newsvendor problem with random capacity
- Low order-value optimization and applications
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