Risk measurement with maximum loss

DOI10.1007/S001860050039zbMATH Open0959.91036OpenAlexW2005015724MaRDI QIDQ1806286FDOQ1806286

Authors: Gerold Studer 

Publication date: 1 November 1999

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050039

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zbMATH Keywords

quadratic programmingglobal optimizationnonlinear programmingrisk measurementLevenberg-Marquardt theoremnonquadratic portfoliospolynomial-approximation algorithm

Mathematics Subject Classification ID

Quadratic programming (90C20) Applications of mathematical programming (90C90)

Cited In (4)

• Maximum variation of total risk
• Upper bounds on value-at-risk for the maximum portfolio loss
• Some properties of the maximum loss on loan portfolios
• Minimizing an indefinite quadratic function subject to a single indefinite quadratic constraint

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