A difference of convex formulation of value-at-risk constrained optimization
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Publication:3577837
DOI10.1080/02331931003700731zbMath1196.90088OpenAlexW1988746686WikidataQ59254965 ScholiaQ59254965MaRDI QIDQ3577837
Ronald Hochreiter, David Wozabal, Georg Ch. Pflug
Publication date: 26 July 2010
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331931003700731
Nonconvex programming, global optimization (90C26) Stochastic programming (90C15) Financial applications of other theories (91G80) Portfolio theory (91G10)
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