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    • A Gradual Non-Convexation Penalty Method for Minimizing VaR 

      Xi, Jiong (University of Waterloo, 2012-05-08)
      This thesis investigates the portfolio optimization problem using Value-at-Risk (VaR) as a risk measure, when m sample scenarios are given. Minimizing VaR of a portfolio is computationally difficult: it is non-convex, ...


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