Risk optimization with \(p\)-order conic constraints: a linear programming approach (Q1038319)
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scientific article; zbMATH DE number 5634697
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk optimization with \(p\)-order conic constraints: a linear programming approach |
scientific article; zbMATH DE number 5634697 |
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Risk optimization with \(p\)-order conic constraints: a linear programming approach (English)
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17 November 2009
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\(p\)-order conic programming
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second-order conic programming
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polyhedral approximation
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risk measures
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stochastic programming
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portfolio optimization
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