Risk optimization with \(p\)-order conic constraints: a linear programming approach
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Publication:1038319
DOI10.1016/j.ejor.2009.03.053zbMath1173.90472OpenAlexW2023648834WikidataQ108918716 ScholiaQ108918716MaRDI QIDQ1038319
Policarpio Soberanis, Pavlo A. Krokhmal
Publication date: 17 November 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.03.053
stochastic programmingpolyhedral approximationportfolio optimizationrisk measures\(p\)-order conic programmingsecond-order conic programming
Applications of mathematical programming (90C90) Quadratic programming (90C20) Linear programming (90C05) Stochastic programming (90C15) Portfolio theory (91G10)
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