Optimization of Value-at-Risk: computational aspects of MIP formulations.
Konstantin PavlikovAlexander VeremyevEduardo L. PasiliaoPublished in: J. Oper. Res. Soc. (2018)
Keyphrases
- optimization methods
- optimization algorithm
- global optimization
- mixed integer programming
- mathematical programming
- optimization approaches
- optimization problems
- risk management
- discrete optimization
- optimization method
- minimum risk
- genetic algorithm
- risk assessment
- optimization process
- feasible solution
- multi objective
- evolutionary algorithm
- decision making