Value-at-Risk optimization using the difference of convex algorithm

David Wozabal

Publication: Scientific journal › Journal article › peer-review

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@article{61e7a9cdbd434772aea8c4c9f1e35986,

title = "Value-at-Risk optimization using the difference of convex algorithm",

author = "David Wozabal",

year = "2012",

month = oct,

day = "1",

language = "English",

volume = "34",

pages = "861 -- 883",

journal = "OR Spectrum",

issn = "0171-6468",

publisher = "Springer Verlag",

number = "4",

}