New reformulations for probabilistically constrained quadratic programs
Year of publication: |
2014
|
---|---|
Authors: | Hsia, Yong ; Wu, Baiyi ; Li, Duan |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 233.2014, 3, p. 550-556
|
Publisher: |
Elsevier |
Subject: | Quadratic programming | Probabilistic constraint | Semi-definite programming | Mixed-integer quadratic program | Value-at-risk/variance portfolio selection |
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