Risk measurement with maximum loss

DOI10.1007/S001860050039zbMath0959.91036OpenAlexW2005015724MaRDI QIDQ1806286

Gerold Studer

Publication date: 1 November 1999

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050039

zbMATH Keywords

global optimizationquadratic programmingnonlinear programmingrisk measurementLevenberg-Marquardt theoremnonquadratic portfoliospolynomial-approximation algorithm

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20)

Related Items (1)

Minimizing an indefinite quadratic function subject to a single indefinite quadratic constraint

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