Quadratic convex reformulations for the portfolio selection problem with Value-at-Risk constraint.
Xiaojin ZhengXueting CuiPublished in: Comput. Ind. Eng. (2021)
Keyphrases
- constrained minimization
- quadratic function
- empirical risk
- convex constraints
- sequential quadratic programming
- quadratic program
- chance constraints
- inequality constraints
- portfolio selection
- high risk
- linear constraints
- objective function
- semidefinite
- penalty functions
- convex functions
- risk analysis
- query logs
- globally convergent
- nonlinear programming problems
- risk factors
- convex optimization
- pairwise
- decision making
- risk minimization
- risk measures
- risk assessment
- optimization problems
- web search
- chance constrained
- dual variables
- computational complexity
- linearly constrained
- information retrieval