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Search: subject:"second-order cone programming"
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Second-order cone programming
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second-order cone programming
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second order cone programming
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semidefinite programming
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Mixed-integer second-order cone programming
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Rujeerapaiboon, Napat
2
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1
Badescu, Alexandru M.
1
Choi, Byung-Geun
1
Cui, Xueting
1
Jiang, Ruiwei
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Kuhn, Daniel
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IMA journal of management mathematics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Operations research letters
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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1
Long-term wealth growth portfolio allocation under parameter uncertainty : a non-conservative robust approach
Zhu, Bo
;
Zhang, Tianlun
- In:
The North American journal of economics and finance : a …
57
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012822215
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2
Robust growth-optimal portfolios
Rujeerapaiboon, Napat
;
Kuhn, Daniel
;
Wiesemann, Wolfram
- In:
Management science : journal of the Institute for …
62
(
2016
)
7
,
pp. 2090-2109
Persistent link: https://www.econbiz.de/10011520389
Saved in:
3
Multi-period portfolio optimization : translation of autocorrelation risk to excess variance
Choi, Byung-Geun
;
Rujeerapaiboon, Napat
;
Jiang, Ruiwei
- In:
Operations research letters
44
(
2016
)
6
,
pp. 801-807
Persistent link: https://www.econbiz.de/10011622383
Saved in:
4
Capital requirements and optimal investment with solvency probability constraints
Asimit, Alexandru V.
;
Badescu, Alexandru M.
;
Siu, Tak Kuen
- In:
IMA journal of management mathematics
26
(
2015
)
4
,
pp. 345-375
Persistent link: https://www.econbiz.de/10011515664
Saved in:
5
Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal
Cui, Xueting
;
Zhu, Shushang
;
Sun, Xiaoling
;
Li, Duan
- In:
Journal of banking & finance
37
(
2013
)
6
,
pp. 2124-2139
Persistent link: https://www.econbiz.de/10009742471
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