On the global minimization of the value-at-risk

DOI10.1080/10556780410001704911zbMath1114.91320arXivmath/0401063MaRDI QIDQ4657710

Sven Leyffer, Jong-Shi Pang

Publication date: 14 March 2005

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0401063

zbMATH Keywords

smoothing; branch-and-cut; linear program with equilibrium constraints

Mathematics Subject Classification ID

90C08: Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.)

Related Items

VaR optimal portfolio with transaction costs, An LPCC approach to nonconvex quadratic programs, On linear programs with linear complementarity constraints, Constant rebalanced portfolio optimization under nonlinear transaction costs, Stochastic optimization problems with CVaR risk measure and their sample average approximation, Three modeling paradigms in mathematical programming, A polynomial optimization approach to constant rebalanced portfolio selection, \(\alpha \)-conservative approximation for probabilistically constrained convex programs, DC programming and DCA for globally solving the value-at-risk, Value-at-risk optimization using the difference of convex algorithm, Generalized order-value optimization, A difference of convex formulation of value-at-risk constrained optimization

Uses Software

• MacMPEC
• NEOS

Cites Work

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