Document Type

PhD diss.

Date of Degree

2009

Degree Name

PhD (Doctor of Philosophy)

Department

Industrial Engineering

First Advisor

Pavlo Krokhmal

Abstract

My dissertation considers solving of linear programming problems with p-order conic constraints that are related to a class of stochastic optimization models with risk objective or constraints that involve higher moments of loss distributions. The general proposed approach is based on construction of polyhedral approximations for p-order cones, thereby approximating the non-linear convex p-order conic programming problems using linear programming models. It is shown that the resulting LP problems possess a special structure that makes them amenable to efficient decomposition techniques. The developed algorithms are tested on the example of portfolio optimization problem with higher moment coherent risk measures that reduces to a p-order conic programming problem. The conducted case studies on real financial data demonstrate that the proposed computational techniques compare favorably against a number of benchmark methods, including second-order conic programming methods.

Pages

x, 122

Bibliography

119-122

Copyright

Copyright 2009 Policarpio Antonio Soberanis