Threshold value of the penalty parameter in the minimization of \(L_1\)-penalized conditional value-at-risk

DOI10.3934/jimo.2013.9.191zbMath1264.91116OpenAlexW2333662229MaRDI QIDQ1950060

Vladimir Gaitsgory, Tanya Tarnopolskaya

Publication date: 24 May 2013

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2013.9.191

zbMATH Keywords

linear programmingconditional value-at-risk (CVaR)\(L_1\)-penalizationthreshold value of the penalty parameter

Mathematics Subject Classification ID

Sensitivity, stability, parametric optimization (90C31) Linear programming (90C05) Portfolio theory (91G10)

Related Items (1)

On non-ergodic convergence rate of the operator splitting method for a class of variational inequalities

This page was built for publication: Threshold value of the penalty parameter in the minimization of \(L_1\)-penalized conditional value-at-risk