COMPLEXITY OF SCENARIO-BASED PORTFOLIO OPTIMIZATION PROBLEM WITH VaR OBJECTIVE

DOI10.1142/S0129054102001370zbMATH Open1066.91053MaRDI QIDQ3021978FDOQ3021978

Rongjun Liu, Xiaoguang Yang, Shuo Tao, 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

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

Cited In (1)

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

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