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|Type:||Artigo de periódico|
|Title:||Low order-value approach for solving VaR-constrained optimization problems|
|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.|
Low order-value optimization
Value at risk
|Appears in Collections:||Artigos e Materiais de Revistas Científicas - Unicamp|
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