Risk optimization with \(p\)-order conic constraints: a linear programming approach
type: Item
instance of: scholarly article
title: Risk optimization with \(p\)-order conic constraints: a linear programming approach
zbMATH Open document ID: 1173.90472
author: Pavlo A. Krokhmal
author: Policarpio Soberanis
published in: European Journal of Operational Research
publication date: 2009-11-17T00:00:00Z
Mathematics Subject Classification ID: 90C05
Mathematics Subject Classification ID: 90C20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C15
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 5634697
zbMATH Keywords: \(p\)-order conic programming
zbMATH Keywords: second-order conic programming
zbMATH Keywords: polyhedral approximation
zbMATH Keywords: risk measures
zbMATH Keywords: stochastic programming
zbMATH Keywords: portfolio optimization
describes a project that uses: SeDuMi
MaRDI profile type: Publication
full work available at URL: j.ejor.2009.03.053
OpenAlex ID: W2023648834
Wikidata QID: Q108918716
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DOI: 10.1016/J.EJOR.2009.03.053
description: scientific article; zbMATH DE number 5634697