CVaR proxies for minimizing scenario-based value-at-risk

DOI10.3934/jimo.2014.10.1109zbMath1282.91306MaRDI QIDQ2438424

Helmut E. Mausser, Oleksandr Romanko

Publication date: 11 March 2014

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2014.10.1109

zbMATH Keywords

optimization; regularization; value-at-risk; conditional value-at-risk

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65K05: Numerical mathematical programming methods

90C11: Mixed integer programming

90C20: Quadratic programming

90C05: Linear programming

91G10: Portfolio theory

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