期刊
AUTOMATION AND REMOTE CONTROL
卷 74, 期 6, 页码 951-967出版社
MAIK NAUKA/INTERPERIODICA/SPRINGER
DOI: 10.1134/S0005117913060064
关键词
-
资金
- Russian Foundation for Basic Research [11-07-90407-Ukr-f-a, 11-07-00315-a]
- Ukrainian Foundation for Basic Research grant in a joint Russian-Ukrainian [F40.1/016]
We propose an equivalent reduction of the quantile optimization problem with a discrete distribution of random parameters to a partially integer programming problem of large dimension. The number of integer (Boolean) variables in this problem equals the number of possible values for the random parameters vector. The resulting problems can be solved with standard discrete optimization software. We consider applications to quantile optimization of a financial portfolio and show results of numerical experiments.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据