On the global minimization of the value-at-risk

  title={On the global minimization of the value-at-risk},
  author={Jong-Shi Pang and Sven Leyffer},
  journal={Optimization Methods and Software},
In this paper we consider the nonconvex minimization problem of the value at risk VaR that arises from nancial risk analysis By considering this problem as a special linear program with linear complementarity constraints a bilevel linear program to be more precise we develop upper and lower bounds for the minimumVaR and show how the combined bounding procedures can be used to compute the latter value to global optimality A numerical example is provided to illustrate the methodology Dedication… CONTINUE READING


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