DC programming and DCA for globally solving the value-at-risk

DOI10.1007/S10287-009-0099-2MaRDI QIDQ1035285zbMATH OpenOpenAlexFDO

Authors Pham Dinh Tao, Nam Nguyen Canh, Le Thi Hoai An

Publication date 2 November 2009

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-009-0099-2

zbMATH Keywords

DCAvalue-at-riskbilevel linear programmingDC programmingbranch- and -bound

Mathematics Subject Classification ID

Linear programming (90C05) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Portfolio theory (91G10) Financial applications of other theories (91G80)

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• VALUE-AT-RISK ESTIMATION FOR DYNAMIC HEDGING
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Cites work

• scientific article; zbMATH DE number 1836444 (Why is no real title available?)
• scientific article; zbMATH DE number 757676 (Why is no real title available?)
• A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
• Convex Analysis
• Convex analysis and global optimization
• Credit risk optimization with conditional Value-at-Risk criterion
• DC programming: overview.
• Exact penalization and stationarity conditions of mathematical programs with equilibrium constraints
• Exact penalty in d. c. programming
• Large-Scale Molecular Optimization from Distance Matrices by a D.C. Optimization Approach
• On the global minimization of the value-at-risk
• Solving a class of linearly constrained indefinite quadratic problems by DC algorithms
• The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems

Cited in

(11)

• Solving the index tracking problem: a continuous optimization approach
• A difference of convex formulation of value-at-risk constrained optimization
• On the global minimization of the value-at-risk
• DC programming and DCA: thirty years of developments
• Portfolio selection under downside risk measures and cardinality constraints based on DC programming and DCA
• The maximum ratio clique problem: A continuous optimization approach and some new results
• Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
• Robust investment strategies with discrete asset choice constraints using DC programming
• A DC algorithm for solving quadratic-linear bilevel optimization problems
• DC programming and DCA for general DC programs
• Value-at-risk optimization using the difference of convex algorithm

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