Minimization of the k-th maximum and its application on LMS regression and VaR optimization - Huang, X; Xu, J; Wang, S; Xu, C (The Journal of the Operational Research Society, 2012)
Keywords: Algorithms; Applied sciences; Approximation; Business and Management; Datasets; Estimators; Exact sciences and technology; General Paper; General Papers; Integers; least median of squares; Linear programming; Linear regression; Management; Mathematical programming; Objective functions; Operational research and scientific management; Operational research. Management science; Operations research; Operations Research/Decision Theory; Optimal solutions; Optimization; piecewise linear optimization; Portfolio theory; Risk theory. Actuarial science; Statistical variance; value-at-risk; piecewise linear optimization; least median of squares; value-at-risk; Warranty; Necessary and sufficient condition; Local optimum; Financial management; Minimization; Linear programming; Risk analysis; Optimization; Least squares method; Risk management; Portfolio management; Quantile; Piecewise linearization; Piecewise-linear techniques