COMPLEXITY OF SCENARIO-BASED PORTFOLIO OPTIMIZATION PROBLEM WITH VaR OBJECTIVE

DOI10.1142/S0129054102001370MaRDI QIDQ3021978zbMATHFDO

Authors Shuo Tao, Rongjun Liu, Xiaoguang Yang, Mao-Cheng Cai

Publication date 22 June 2005

Published in International Journal of Foundations of Computer Science (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationNP-hardscenario-based formulationVaR objective

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Portfolio theory (91G10) Computational difficulty of problems (lower bounds, completeness, difficulty of approximation, etc.) (68Q17)

Cites work

• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Coherent measures of risk

Cited in

(1)

• Value-at-risk support vector machine: stability to outliers

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