Risk optimization with \(p\)-order conic constraints: a linear programming approach

DOI10.1016/j.ejor.2009.03.053zbMath1173.90472OpenAlexW2023648834WikidataQ108918716 ScholiaQ108918716MaRDI QIDQ1038319

Policarpio Soberanis, Pavlo A. Krokhmal

Publication date: 17 November 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2009.03.053

zbMATH Keywords

stochastic programmingpolyhedral approximationportfolio optimizationrisk measures\(p\)-order conic programmingsecond-order conic programming

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Linear programming (90C05) Stochastic programming (90C15) Portfolio theory (91G10)

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Uses Software

• SeDuMi

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