Correlation stress testing for value-at-risk: an unconstrained convex optimization approach

DOI10.1007/s10589-008-9231-4zbMath1198.91091OpenAlexW2016070917MaRDI QIDQ2379691

Hou-Duo Qi, Defeng Sun

Publication date: 19 March 2010

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-008-9231-4

zbMATH Keywords

convex optimizationNewton's methodstress testingaugmented Lagrangian functions

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

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Uses Software

• QSDP

Cites Work

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