Low order-value approach for solving VaR-constrained optimization problems

Journal of Global Optimization

Volumn 51, Issue 4, 2011, Pages 715-742

  Birgin, E G ^a   Bueno, L F ^b   Krejic N ^c   Martinez J M ^b  

^a UNIVERSITY OF SÃO PAULO   (Brazil)

^b UNIVERSITY OF CAMPINAS   (Brazil)

^c UNIVERSITY OF NOVI SAD   (Serbia)

Author keywords

Augmented Lagrangian; Low order value optimization; Numerical algorithms; Optimization; Order value optimization; Value at risk

Indexed keywords

AUGMENTED LAGRANGIANS; FINITE SEQUENCE; NUMERICAL ALGORITHMS; OPTIMIZATION PROBLEMS; ORDER-VALUE OPTIMIZATION; PORTFOLIO OPTIMIZATION; PRACTICAL SOLUTIONS; Q-FUNCTIONS; TRANSACTION COST; VALUE AT RISK;

ALGORITHMS; FINANCIAL DATA PROCESSING; OPTIMIZATION; VALUE ENGINEERING;

CONSTRAINED OPTIMIZATION;

EID: 83555172580     PISSN: 09255001     EISSN: 15732916     Source Type: Journal    
DOI: 10.1007/s10898-011-9656-7     Document Type: Article

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