Value-at-risk optimization using the difference of convex algorithm

DOI10.1007/s00291-010-0225-0zbMath1282.91313OpenAlexW1992422840MaRDI QIDQ1929961

David Wozabal

Publication date: 10 January 2013

Published in: OR Spectrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00291-010-0225-0

zbMATH Keywords

stochastic programmingvalue-at-risknon-convex optimizationrisk management

Mathematics Subject Classification ID

Related Items (12)

Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints ⋮ VaR as the CVaR sensitivity: applications in risk optimization ⋮ Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure ⋮ An Inner-Outer Approximation Approach to Chance Constrained Optimization ⋮ DC Algorithm for Extended Robust Support Vector Machine ⋮ On the pervasiveness of difference-convexity in optimization and statistics ⋮ Minimizing value-at-risk in single-machine scheduling ⋮ DC programming and DCA: thirty years of developments ⋮ Computing near-optimal value-at-risk portfolios using integer programming techniques ⋮ Differential equations connecting VaR and CVaR ⋮ Data-driven portfolio management with quantile constraints ⋮ Convergence analysis on a smoothing approach to joint chance constrained programs

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