Algorithm to solve the generalized Markowitz problem
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Publication:544777
DOI10.1134/S0005117911020081zbMath1242.90234MaRDI QIDQ544777
A. I. Kibzun, A. I. Chernobrovov
Publication date: 16 June 2011
Published in: Automation and Remote Control (Search for Journal in Brave)
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Equivalence of the problems with quantile and integral quantile criteria ⋮ Stochastic quasigradient algorithm to minimize the function of integral quantile
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- Stochastic quasigradient algorithm to minimize the quantile function
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- On the worst-case distribution in stochastic optimization problems with probability function
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- A Stochastic Approximation Method
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