New reformulations for probabilistically constrained quadratic programs

DOI10.1016/j.ejor.2013.08.052zbMath1339.90260OpenAlexW1983846209WikidataQ57445422 ScholiaQ57445422MaRDI QIDQ296982

Baiyi Wu, Yong Hsia, Li, Duan

Publication date: 24 June 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.08.052

zbMATH Keywords

quadratic programmingsemi-definite programmingmixed-integer quadratic programprobabilistic constraintvalue-at-risk/variance portfolio selection

Mathematics Subject Classification ID

Mixed integer programming (90C11) Quadratic programming (90C20) Stochastic programming (90C15)

Related Items (2)

Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints ⋮ Quadratic convex reformulation for quadratic programming with linear on-off constraints

Uses Software

• CVX

Cites Work

• Unnamed Item
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• An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints
• An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems
• Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems

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