Worst-case CVaR based portfolio optimization models with applications to scenario planning

DOI10.1080/10556780902865942zbMath1237.90233OpenAlexW1994085770MaRDI QIDQ5891578

Renata Sotirov, Etienne de Klerk

Publication date: 16 May 2012

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556780902865942

Mathematics Subject Classification ID

Fractional programming (90C32) Compliance or weight optimization in solid mechanics (74P05)

Related Items (4)

CBLIB 2014: a benchmark library for conic mixed-integer and continuous optimization ⋮ Dimension reduction for semidefinite programs via Jordan algebras ⋮ Strong practical stability and stabilization of uncertain discrete linear repetitive processes ⋮ Exploiting symmetry in copositive programs via semidefinite hierarchies

Uses Software

• CSDP
• QAPLIB
• SDPLIB
• SDPA
• SeDuMi
• SDPT3
• Benchmarks for Optimization Software
• SDPLR

Cites Work

• Benchmarks for Optimization Software

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