A mixed 0-1 LP for index tracking problem with CVaR risk constraints.
Meihua WangChengxian XuFengmin XuHonggang XuePublished in: Ann. Oper. Res. (2012)
Keyphrases
- risk measures
- risk averse
- linear programming
- particle filter
- real time
- portfolio optimization
- object tracking
- linear arithmetic constraints
- portfolio selection
- appearance model
- constraint satisfaction
- b tree
- risk management
- index structure
- point tracking
- database
- constraint programming
- motion tracking
- motion model
- stochastic programming
- mean shift
- data structure
- nonparametric estimation