Low order-value approach for solving VaR-constrained optimization problems
| Year of publication: |
2011
|
|---|---|
| Authors: | Birgin, E. ; Bueno, L. ; Krejić, N. ; Martínez, J. |
| Published in: |
Journal of Global Optimization. - Springer. - Vol. 51.2011, 4, p. 715-742
|
| Publisher: |
Springer |
| Subject: | Optimization | Augmented Lagrangian | Order-value optimization | Low order-value optimization | Value at risk | Numerical algorithms | 65Kxx |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009399897