Risk optimization with \(p\)-order conic constraints: a linear programming approach

DOI10.1016/j.ejor.2009.03.053zbMath1173.90472WikidataQ108918716 ScholiaQ108918716MaRDI QIDQ1038319

Pavlo A. Krokhmal, Policarpio Soberanis

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

zbMATH Keywords

stochastic programming; polyhedral approximation; portfolio optimization; risk measures; \(p\)-order conic programming; second-order conic programming

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

90C20: Quadratic programming

90C05: Linear programming

90C15: Stochastic programming

91G10: Portfolio theory

Related Items

Processing second-order stochastic dominance models using cutting-plane representations

Uses Software

• SeDuMi

Cites Work

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