Low order-value approach for solving VaR-constrained optimization problems
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References listed on IDEAS
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- E. G. Birgin & J. M. Martínez, 2016. "On the application of an Augmented Lagrangian algorithm to some portfolio problems," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 4(1), pages 79-92, February.
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More about this item
KeywordsOptimization; Augmented Lagrangian; Order-value optimization; Low order-value optimization; Value at risk; Numerical algorithms; 65Kxx; 47N10;
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