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Chance constrained 0–1 quadratic programs using copulas · Study

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ArticleChance constrained 0–1 quadratic programs using copulas

Jianqiang Cheng2015

Article2015

Chance constrained 0–1 quadratic programs using copulas

Jianqiang Cheng · Michal Houda · Abdel Lisser

24 citations·0/0 files stored·Optimization Letters

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Risk and Portfolio Optimization Advanced Optimization Algorithms Research Optimization and Mathematical Programming

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References

1999An Introduction to Copulas 1995Stochastic Programming 2007Risk and Reliability Analysis 2012A second-order cone programming approach for linear programs with joint probabilistic constraints 2006Optimization Models with Probabilistic Constraints 2011Convexity of Chance Constraints with Dependent Random Variables: The Use of Copulae 20094. Optimization Models with Probabilistic Constraints

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Year2015

Typearticle

Published2015-02-04

VenueOptimization Letters

ISSN-L1862-4472

Languageen

Citations24

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1007/s11590-015-0854-y

openalex_workW2087429061

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