Browsing Mathematics (Faculty of) by Subject "VaR Minimization"
Now showing items 1-1 of 1
-
A Gradual Non-Convexation Penalty Method for Minimizing VaR
(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, ...