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Journal of the Operational Research Society Volume 63, 2012 - Issue 11
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General Paper

Minimization of the k-th maximum and its application on LMS regression and VaR optimization

X HuangTsinghua University and Tsinghua National Laboratory for Information Science and Technology (TNList)BeijingP.R. China
,
J XuTsinghua University and Tsinghua National Laboratory for Information Science and Technology (TNList)BeijingP.R. China
,
S WangTsinghua University and Tsinghua National Laboratory for Information Science and Technology (TNList)BeijingP.R. ChinaCorrespondence[email protected]
&
C XuChiba Institute of TechnologyChibaJapan
Pages 1479-1491 | Received 01 Feb 2010, Accepted 01 Dec 2011, Published online: 21 Dec 2017

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