DC programming and DCA for globally solving the value-at-risk
DOI10.1007/S10287-009-0099-2zbMATH Open1177.90286OpenAlexW2063398392MaRDI QIDQ1035285FDOQ1035285
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
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Cites Work
- DC programming: overview.
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- Convex Analysis
- The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
- Convex analysis and global optimization
- Credit risk optimization with conditional Value-at-Risk criterion
- Solving a class of linearly constrained indefinite quadratic problems by DC algorithms
- Exact penalty in d. c. programming
- A D.C. Optimization Algorithm for Solving the Trust-Region Subproblem
- Large-Scale Molecular Optimization from Distance Matrices by a D.C. Optimization Approach
- Exact penalization and stationarity conditions of mathematical programs with equilibrium constraints
- Title not available (Why is that?)
- On the global minimization of the value-at-risk
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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