DC programming and DCA for globally solving the value-at-risk

DOI10.1007/s10287-009-0099-2zbMath1177.90286OpenAlexW2063398392MaRDI QIDQ1035285

Nam Nguyen Canh, Tao Pham Dinh, Hoai An Le Thi

Publication date: 2 November 2009

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-009-0099-2

zbMATH Keywords

DCAvalue-at-riskDC programmingbilevel linear programmingbranch- and -bound

Mathematics Subject Classification ID

Related Items (7)

DC Programming and DCA for General DC Programs ⋮ Solving the index tracking problem: a continuous optimization approach ⋮ A DC Algorithm for Solving Quadratic-linear Bilevel Optimization Problems ⋮ The Maximum Ratio Clique Problem: A Continuous Optimization Approach and Some New Results ⋮ Robust investment strategies with discrete asset choice constraints using DC programming ⋮ DC programming and DCA: thirty years of developments ⋮ Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm

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• Large-Scale Molecular Optimization from Distance Matrices by a D.C. Optimization Approach
• On the global minimization of the value-at-risk
• Convex Analysis
• Convex analysis and global optimization
• Credit risk optimization with conditional Value-at-Risk criterion

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