A derivative-free trust-region algorithm with copula-based models for probability maximization problems
Emerson Butyn, Elizabeth W. Karas, Welington de Oliveira
| Year of publication: |
2022
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| Authors: | Butyn, Emerson ; Karas, Elizabeth W. ; Oliveira, Welington de |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 298.2022, 1 (1.4.), p. 59-75
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| Subject: | Derivative-free optimization | Nonlinear programming | Probability maximization problem | Stochastic programming | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Stochastischer Prozess | Stochastic process | Nichtlineare Optimierung | Multivariate Verteilung | Multivariate distribution | Dynamische Optimierung | Dynamic programming | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.09.040 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013206808