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A difference of convex formulation of value-at-risk constrained optimization - MaRDI portal

A difference of convex formulation of value-at-risk constrained optimization (Q3577837)

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A difference of convex formulation of value-at-risk constrained optimization
scientific article

    Statements

    title
    A difference of convex formulation of value-at-risk constrained optimization (English)
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    author
    David Wozabal
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    Ronald Hochreiter
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    Georg Ch. Pflug
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    published in
    Optimization
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    publication date
    26 July 2010
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    zbMATH Keywords
    stochastic programming
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    portfolio optimization
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    D.C. optimization
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    branch-and-bound
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    cites work
    Q4459806
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    Identifiers

    Mathematics Subject Classification ID
    90C15
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    91G10
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    91G80
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    90C26
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    zbMATH DE Number
    5760810
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    OpenAlex ID
    W1988746686
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    Wikidata QID
    Q59254965
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