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DC programming and DCA for globally solving the value-at-risk

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  • Tao Pham Dinh
  • Nguyen Nam
  • Hoai Le Thi

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  • Tao Pham Dinh & Nguyen Nam & Hoai Le Thi, 2009. "DC programming and DCA for globally solving the value-at-risk," Computational Management Science, Springer, vol. 6(4), pages 477-501, October.
    • Handle: RePEc:spr:comgts:v:6:y:2009:i:4:p:477-501
    DOI: 10.1007/s10287-009-0099-2
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    References listed on IDEAS

    as
    1. R. Horst & N. V. Thoai, 1999. "DC Programming: Overview," Journal of Optimization Theory and Applications, Springer, vol. 103(1), pages 1-43, October.
    2. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
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