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Type: Artigo de periódico
Title: Low order-value approach for solving VaR-constrained optimization problems
Author: Birgin, EG
Bueno, LF
Krejic, N
Martinez, JM
Abstract: In Low Order-Value Optimization (LOVO) problems the sum of the r smallest values of a finite sequence of q functions is involved as the objective to be minimized or as a constraint. The latter case is considered in the present paper. Portfolio optimization problems with a constraint on the admissible Value at Risk (VaR) can be modeled in terms of a LOVO problem with constraints given by Low order-value functions. Different algorithms for practical solution of this problem will be presented. Using these techniques, portfolio optimization problems with transaction costs will be solved.
Subject: Optimization
Augmented Lagrangian
Order-value optimization
Low order-value optimization
Value at risk
Numerical algorithms
Country: Holanda
Editor: Springer
Rights: fechado
Identifier DOI: 10.1007/s10898-011-9656-7
Date Issue: 2011
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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