{"id":"https://openalex.org/W1985736102","doi":"https://doi.org/10.1007/s10898-011-9656-7","title":"Low order-value approach for solving VaR-constrained optimization problems","display_name":"Low order-value approach for solving VaR-constrained optimization problems","publication_year":2011,"publication_date":"2011-02-03","ids":{"openalex":"https://openalex.org/W1985736102","doi":"https://doi.org/10.1007/s10898-011-9656-7","mag":"1985736102"},"language":"en","primary_location":{"id":"doi:10.1007/s10898-011-9656-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10898-011-9656-7","pdf_url":null,"source":{"id":"https://openalex.org/S115925768","display_name":"Journal of Global Optimization","issn_l":"0925-5001","issn":["0925-5001","1573-2916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Global Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://dx.doi.org/10.1007/s10898-011-9656-7","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5087290455","display_name":"Ernesto G. Birgin","orcid":"https://orcid.org/0000-0002-7466-7663"},"institutions":[{"id":"https://openalex.org/I17974374","display_name":"Universidade de S\u00e3o Paulo","ror":"https://ror.org/036rp1748","country_code":"BR","type":"education","lineage":["https://openalex.org/I17974374"]}],"countries":["BR"],"is_corresponding":false,"raw_author_name":"E. G. Birgin","raw_affiliation_strings":["Department of Computer Science IME-USP, University of S\u00e3o Paulo, Rua do Mat\u00e3o 1010, Cidade Universit\u00e1ria, 05508-090, S\u00e3o Paulo, SP, Brazil","Department of Computer Science IME-USP, University of S\u00e3o Paulo, S\u00e3o Paulo, Brazil","Department of Computer Science IME-USP, University of S\u00e3o Paulo, S\u00e3o Paulo, Brazil 05508-090#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Computer Science IME-USP, University of S\u00e3o Paulo, Rua do Mat\u00e3o 1010, Cidade Universit\u00e1ria, 05508-090, S\u00e3o Paulo, SP, Brazil","institution_ids":["https://openalex.org/I17974374"]},{"raw_affiliation_string":"Department of Computer Science IME-USP, University of S\u00e3o Paulo, S\u00e3o Paulo, Brazil","institution_ids":["https://openalex.org/I17974374"]},{"raw_affiliation_string":"Department of Computer Science IME-USP, University of S\u00e3o Paulo, S\u00e3o Paulo, Brazil 05508-090#TAB#","institution_ids":["https://openalex.org/I17974374"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5008833621","display_name":"L. F. Bueno","orcid":"https://orcid.org/0000-0002-8820-6606"},"institutions":[{"id":"https://openalex.org/I181391015","display_name":"Universidade Estadual de Campinas (UNICAMP)","ror":"https://ror.org/04wffgt70","country_code":"BR","type":"education","lineage":["https://openalex.org/I181391015"]},{"id":"https://openalex.org/I4210120266","display_name":"Czech Academy of Sciences, Institute of Mathematics","ror":"https://ror.org/02tv1yf50","country_code":"CZ","type":"facility","lineage":["https://openalex.org/I202391551","https://openalex.org/I4210120266"]}],"countries":["BR","CZ"],"is_corresponding":false,"raw_author_name":"L. F. Bueno","raw_affiliation_strings":["Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, 13083-859, Campinas, SP, Brazil","Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, Campinas, Brazil","Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, Campinas, Brazil 13083-859#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, 13083-859, Campinas, SP, Brazil","institution_ids":["https://openalex.org/I181391015"]},{"raw_affiliation_string":"Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, Campinas, Brazil","institution_ids":["https://openalex.org/I181391015","https://openalex.org/I4210120266"]},{"raw_affiliation_string":"Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, Campinas, Brazil 13083-859#TAB#","institution_ids":["https://openalex.org/I181391015"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5029757006","display_name":"Nata\u0161a Kreji\u0107","orcid":"https://orcid.org/0000-0003-3348-7233"},"institutions":[{"id":"https://openalex.org/I170726198","display_name":"University of Novi Sad","ror":"https://ror.org/00xa57a59","country_code":"RS","type":"education","lineage":["https://openalex.org/I170726198"]}],"countries":["RS"],"is_corresponding":true,"raw_author_name":"N. Kreji\u0107","raw_affiliation_strings":["Department of Mathematics and Informatics, University of Novi Sad, Novi Sad, Serbia","Department of Mathematics and Informatics, University of Novi Sad, Trg Dositeja Obradovi\u0107a 4, 21000, Novi Sad, Serbia","Department of Mathematics and Informatics, University of Novi Sad, Novi Sad, Serbia 21000#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Informatics, University of Novi Sad, Novi Sad, Serbia","institution_ids":["https://openalex.org/I170726198"]},{"raw_affiliation_string":"Department of Mathematics and Informatics, University of Novi Sad, Trg Dositeja Obradovi\u0107a 4, 21000, Novi Sad, Serbia","institution_ids":["https://openalex.org/I170726198"]},{"raw_affiliation_string":"Department of Mathematics and Informatics, University of Novi Sad, Novi Sad, Serbia 21000#TAB#","institution_ids":["https://openalex.org/I170726198"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5066019994","display_name":"J. M. Mart\u0131\u0301nez","orcid":"https://orcid.org/0000-0003-3331-368X"},"institutions":[{"id":"https://openalex.org/I181391015","display_name":"Universidade Estadual de Campinas (UNICAMP)","ror":"https://ror.org/04wffgt70","country_code":"BR","type":"education","lineage":["https://openalex.org/I181391015"]},{"id":"https://openalex.org/I4210120266","display_name":"Czech Academy of Sciences, Institute of Mathematics","ror":"https://ror.org/02tv1yf50","country_code":"CZ","type":"facility","lineage":["https://openalex.org/I202391551","https://openalex.org/I4210120266"]}],"countries":["BR","CZ"],"is_corresponding":false,"raw_author_name":"J. M. Mart\u00ednez","raw_affiliation_strings":["Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, 13083-859, Campinas, SP, Brazil","Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, Campinas, Brazil","Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, Campinas, Brazil 13083-859#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, 13083-859, Campinas, SP, Brazil","institution_ids":["https://openalex.org/I181391015"]},{"raw_affiliation_string":"Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, Campinas, Brazil","institution_ids":["https://openalex.org/I181391015","https://openalex.org/I4210120266"]},{"raw_affiliation_string":"Department of Applied Mathematics, Institute of Mathematics, Statistics and Scientific Computing (IMECC), University of Campinas, Campinas, Brazil 13083-859#TAB#","institution_ids":["https://openalex.org/I181391015"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5029757006"],"corresponding_institution_ids":["https://openalex.org/I170726198"],"apc_list":{"value":2190,"currency":"EUR","value_usd":2780},"apc_paid":null,"fwci":2.963,"has_fulltext":false,"cited_by_count":18,"citation_normalized_percentile":{"value":0.90462263,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"51","issue":"4","first_page":"715","last_page":"742"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9965000152587891,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11801","display_name":"Reservoir Engineering and Simulation Methods","score":0.9952999949455261,"subfield":{"id":"https://openalex.org/subfields/2212","display_name":"Ocean Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7647780179977417},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.7459409236907959},{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.6266238689422607},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.6092050075531006},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.5735069513320923},{"id":"https://openalex.org/keywords/order","display_name":"Order (exchange)","score":0.5445234775543213},{"id":"https://openalex.org/keywords/sequence","display_name":"Sequence (biology)","score":0.4873128831386566},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.4476020038127899},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.44495829939842224}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7647780179977417},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.7459409236907959},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.6266238689422607},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.6092050075531006},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.5735069513320923},{"id":"https://openalex.org/C182306322","wikidata":"https://www.wikidata.org/wiki/Q1779371","display_name":"Order (exchange)","level":2,"score":0.5445234775543213},{"id":"https://openalex.org/C2778112365","wikidata":"https://www.wikidata.org/wiki/Q3511065","display_name":"Sequence (biology)","level":2,"score":0.4873128831386566},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4476020038127899},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.44495829939842224},{"id":"https://openalex.org/C54355233","wikidata":"https://www.wikidata.org/wiki/Q7162","display_name":"Genetics","level":1,"score":0.0},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1007/s10898-011-9656-7","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10898-011-9656-7","pdf_url":null,"source":{"id":"https://openalex.org/S115925768","display_name":"Journal of Global Optimization","issn_l":"0925-5001","issn":["0925-5001","1573-2916"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Global Optimization","raw_type":"journal-article"},{"id":"pmh:002249897","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s10898-011-9656-7","pdf_url":null,"source":{"id":"https://openalex.org/S4306402641","display_name":"LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Cient\u00edficas)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4383465926","host_organization_name":"LA Referencia","host_organization_lineage":["https://openalex.org/I4383465926"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"reponame:Reposit\u00f3rio Institucional da USP (Biblioteca Digital da Produ\u00e7\u00e3o Intelectual)","raw_type":"info:eu-repo/semantics/publishedVersion"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.159.7024","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.159.7024","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.ime.usp.br/~egbirgin/publications/bukm.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.216.89","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.216.89","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.ime.usp.br/%7Eegbirgin/publications/bukm.pdf","raw_type":"text"},{"id":"pmh:oai:RePEc:spr:jglopt:v:51:y:2011:i:4:p:715-742","is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1007/s10898-011-9656-7","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:002249897","is_oa":true,"landing_page_url":"http://dx.doi.org/10.1007/s10898-011-9656-7","pdf_url":null,"source":{"id":"https://openalex.org/S4306402641","display_name":"LA Referencia (Red Federada de Repositorios Institucionales de Publicaciones Cient\u00edficas)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I4383465926","host_organization_name":"LA Referencia","host_organization_lineage":["https://openalex.org/I4383465926"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"reponame:Reposit\u00f3rio Institucional da USP (Biblioteca Digital da Produ\u00e7\u00e3o Intelectual)","raw_type":"info:eu-repo/semantics/publishedVersion"},"sustainable_development_goals":[{"id":"https://metadata.un.org/sdg/8","score":0.41999998688697815,"display_name":"Decent work and economic growth"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":49,"referenced_works":["https://openalex.org/W185892825","https://openalex.org/W200606222","https://openalex.org/W202383464","https://openalex.org/W1482298744","https://openalex.org/W1551275368","https://openalex.org/W1567352800","https://openalex.org/W1587861032","https://openalex.org/W1972197898","https://openalex.org/W1973987247","https://openalex.org/W1976406849","https://openalex.org/W1981009968","https://openalex.org/W1984425167","https://openalex.org/W1986269035","https://openalex.org/W1987995897","https://openalex.org/W1988270113","https://openalex.org/W1991359458","https://openalex.org/W1995035565","https://openalex.org/W2006234834","https://openalex.org/W2018812345","https://openalex.org/W2024716263","https://openalex.org/W2037091587","https://openalex.org/W2040582618","https://openalex.org/W2056371558","https://openalex.org/W2057624533","https://openalex.org/W2061217595","https://openalex.org/W2075572180","https://openalex.org/W2078237894","https://openalex.org/W2092412407","https://openalex.org/W2097359823","https://openalex.org/W2107371918","https://openalex.org/W2118941696","https://openalex.org/W2130183935","https://openalex.org/W2130633138","https://openalex.org/W2132210054","https://openalex.org/W2155681181","https://openalex.org/W2188824969","https://openalex.org/W2270368264","https://openalex.org/W2301746362","https://openalex.org/W2889977735","https://openalex.org/W3004540582","https://openalex.org/W3124170611","https://openalex.org/W3124407081","https://openalex.org/W3125090012","https://openalex.org/W3145128584","https://openalex.org/W4236670843","https://openalex.org/W4250148082","https://openalex.org/W4285719527","https://openalex.org/W4385738287","https://openalex.org/W6634937874"],"related_works":["https://openalex.org/W1986311305","https://openalex.org/W4360613713","https://openalex.org/W3125148470","https://openalex.org/W2768197547","https://openalex.org/W2055959038","https://openalex.org/W2068727170","https://openalex.org/W4206877017","https://openalex.org/W4327779378","https://openalex.org/W2795635811","https://openalex.org/W2221832056"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":2}],"updated_date":"2026-06-19T17:40:00.097472","created_date":"2025-10-10T00:00:00"}
