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A branch-and-cut approach to portfolio selection with marginal risk control in a linear conic progra
  • ISSN号：1004-3756
  • 期刊名称：Journal of Systems Science and Systems Engineering
  • 时间：2013.12
  • 页码：385-400
  • 相关项目：非负二次函数锥规划研究
作者： Bai, Yanqin|Fang, Shu-Cherng|Tian, Ye|Xing, Wenxun|
同期刊论文项目
非负二次函数锥规划研究
期刊论文 22 著作 1
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Computable representation of the cone of nonnegative quadratic forms over a general second-order con
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Combination of parallel machine scheduling and vertex cover
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Quadratic Optimization over a Second-Order Cone with Linear Equality Constraints
Special Issue in Honor of the 60th Birthday of Professor Shu-Cherng Fang
On constraint qualifications: motivation, design and inter-relations
Detecting copositivity of a symmetric matrix by an adaptive ellipsoid-based approximation scheme
KKT SOLUTION AND CONIC RELAXATION FOR SOLVING QUADRATICALLY CONSTRAINED QUADRATIC PROGRAMMING PROBLE
Detection of a copositive matrix over a p-th order cone
Solving conic quadratically constrained quadratic programming problems
QUADRATIC OPTIMIZATION OVER ONE FIRST-ORDER CONE
Adaptive computable approximation to cones of nonnegative quadratic functions
Parametric Lagrangian dual for the binary quadratic programming problem
Canonicaldual solutions to quadratic optimization over one quadratic constraint
A conic approximation method for the 0-1 quadratic knapsack problem
A canonical dual approach for solving linearly constrained quadratic programs
A BRANCH-AND-CUT APPROACH TO PORTFOLIO SELECTION WITH MARGINAL RISK CONTROL IN A LINEAR CONIC PROGRAMMING FRAMEWORK
期刊信息
  • 《系统科学与系统工程学报：英文版》
  • 主管单位:
  • 主办单位:中国科学院系统科学研究所
  • 主编：
  • 地址：清华大学经济与管理学院
  • 邮编：100084
  • 邮箱：jchen@tsinghua.edu.cn
  • 电话：010-62771663
  • 国际标准刊号：ISSN：1004-3756
  • 国内统一刊号：ISSN：11-2983/N
  • 邮发代号:80-221
  • 获奖情况:
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,荷兰文摘与引文数据库,美国工程索引,美国科学引文索引（扩展库）,英国科学文摘数据库
  • 被引量:56