On the Global Minimization of the Value-at-Risk
|Title||On the Global Minimization of the Value-at-Risk|
|Year of Publication||2003|
|Authors||Pang, J-S, Leyffer, S|
|Series Title||Optimization Methods and Software|
In this paper, we consider the nonconvex minimization problem of the value-at-risk (VaR) that arises from financial 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 minimum VaR 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.