Computing near-optimal Value-at-Risk portfolios using integer programming techniques.
Onur BabatJuan C. VeraLuis F. ZuluagaPublished in: Eur. J. Oper. Res. (2018)
Keyphrases
- integer programming
- np hard
- production planning
- constraint programming
- cutting plane
- network flow
- lagrangian relaxation
- cutting plane algorithm
- linear programming
- ai planning
- portfolio optimization
- inference problems
- set covering
- set covering problem
- column generation
- facility location
- valid inequalities
- transportation problem
- dantzig wolfe decomposition
- investment decisions
- computational complexity
- lp relaxation
- integer program
- special case
- lower bound
- set partitioning
- learning algorithm