The leading approach to the simplex method, a widely used technique for balancing complex logistical constraints, can’t get ...

We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...

This is a preview. Log in through your library . Abstract A new algorithm for inequality constrained optimization is presented, which solves a linear programming subproblem and a quadratic subproblem ...

This paper considers long-short portfolio optimization in the presence of two risk measures (variance and conditional value-at-risk (CVaR)), and asset choice constraints regarding buying and selling ...