Pavlo A. Krokhmal, Policarpio Soberanis. Risk optimization with p-order conic constraints: A linear programming approach. European Journal of Operational Research, 201(3):653-671, 2010. [doi]
@article{KrokhmalS10,
title = {Risk optimization with p-order conic constraints: A linear programming approach},
author = {Pavlo A. Krokhmal and Policarpio Soberanis},
year = {2010},
doi = {10.1016/j.ejor.2009.03.053},
url = {http://dx.doi.org/10.1016/j.ejor.2009.03.053},
tags = {optimization, constraints, programming, program optimization, systematic-approach},
researchr = {https://researchr.org/publication/KrokhmalS10},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {201},
number = {3},
pages = {653-671},
}