New reformulations for probabilistically constrained quadratic programs
Yong Hsia; Baiyi Wu; Duan Li
| Year of publication: |
2014
|
|---|---|
| Authors: | Hsia, Yong ; Wu, Baiyi ; Li, Duan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 233.2014, 3 (16.3.), p. 550-556
|
| Subject: | Quadratic programming | Probabilistic constraint | Semi-definite programming | Mixed-integer quadratic program | Value-at-risk/variance portfolio selection | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Nichtlineare Optimierung | Nonlinear programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010228240