{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,31]],"date-time":"2025-10-31T05:31:34Z","timestamp":1761888694782,"version":"build-2065373602"},"reference-count":27,"publisher":"Elsevier BV","issue":"1","license":[{"start":{"date-parts":[[2016,2,1]],"date-time":"2016-02-01T00:00:00Z","timestamp":1454284800000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/tdm\/userlicense\/1.0\/"},{"start":{"date-parts":[[2016,2,1]],"date-time":"2016-02-01T00:00:00Z","timestamp":1454284800000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/legal\/tdmrep-license"}],"funder":[{"DOI":"10.13039\/501100001807","name":"FAPESP","doi-asserted-by":"crossref","award":["2010\/10133-0, 2013\/03447-6, 2013\/05475-7, and 2013\/07375-0"],"award-info":[{"award-number":["2010\/10133-0, 2013\/03447-6, 2013\/05475-7, and 2013\/07375-0"]}],"id":[{"id":"10.13039\/501100001807","id-type":"DOI","asserted-by":"crossref"}]},{"name":"CNPq\/FAPERJ","award":["PRONEX-CNPq\/FAPERJ E-26\/111.449\/2010-APQ1"],"award-info":[{"award-number":["PRONEX-CNPq\/FAPERJ E-26\/111.449\/2010-APQ1"]}]},{"DOI":"10.13039\/501100003593","name":"CNPq","doi-asserted-by":"crossref","award":["309517\/2014-1 and 303750\/2014-6"],"award-info":[{"award-number":["309517\/2014-1 and 303750\/2014-6"]}],"id":[{"id":"10.13039\/501100003593","id-type":"DOI","asserted-by":"crossref"}]}],"content-domain":{"domain":["elsevier.com","sciencedirect.com"],"crossmark-restriction":true},"short-container-title":["EURO Journal on Computational Optimization"],"published-print":{"date-parts":[[2016,2]]},"DOI":"10.1007\/s13675-015-0052-9","type":"journal-article","created":{"date-parts":[[2015,10,1]],"date-time":"2015-10-01T05:03:12Z","timestamp":1443675792000},"page":"79-92","update-policy":"https:\/\/doi.org\/10.1016\/elsevier_cm_policy","source":"Crossref","is-referenced-by-count":4,"title":["On the application of an augmented Lagrangian algorithm to some portfolio problems"],"prefix":"10.1016","volume":"4","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-7466-7663","authenticated-orcid":false,"given":"E.G.","family":"Birgin","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"J.M.","family":"Mart\u00ednez","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"78","reference":[{"key":"10.1007\/s13675-015-0052-9_CR1","doi-asserted-by":"crossref","first-page":"583","DOI":"10.1016\/j.jbankfin.2005.04.012","article-title":"Minimizing CVaR and VaR for a portfolio of derivatives","volume":"30","author":"Alexander","year":"2006","journal-title":"J Banking Finan"},{"key":"10.1007\/s13675-015-0052-9_CR2","doi-asserted-by":"crossref","first-page":"1286","DOI":"10.1137\/060654797","article-title":"On augmented Lagrangian methods with general lower-level constraints","volume":"18","author":"Andreani","year":"2008","journal-title":"SIAM J Optimiz"},{"year":"2006","series-title":"Nonlinear optimization with financial applications","author":"Bartholomew-Biggs","key":"10.1007\/s13675-015-0052-9_CR3"},{"key":"10.1007\/s13675-015-0052-9_CR4","doi-asserted-by":"crossref","first-page":"221","DOI":"10.2298\/YJOR130803002B","article-title":"Portfolio optimization with structured products under return constraint","volume":"25","author":"Baweja","year":"2015","journal-title":"Yugoslav Jf Oper Res"},{"key":"10.1007\/s13675-015-0052-9_CR5","doi-asserted-by":"crossref","first-page":"715","DOI":"10.1007\/s10898-011-9656-7","article-title":"Low Order-Value approach for solving VaR-constrained optimization problems","volume":"51","author":"Birgin","year":"2011","journal-title":"J Global Optimiz"},{"key":"10.1007\/s13675-015-0052-9_CR6","doi-asserted-by":"crossref","first-page":"139","DOI":"10.1007\/s10107-009-0264-y","article-title":"Global minimization using an augmented Lagrangian method with variable lower-level constraints","volume":"125","author":"Birgin","year":"2010","journal-title":"Math Program"},{"year":"2014","series-title":"Practical augmented Lagrangian methods for constrained optimization","author":"Birgin","key":"10.1007\/s13675-015-0052-9_CR7"},{"key":"10.1007\/s13675-015-0052-9_CR8","doi-asserted-by":"crossref","first-page":"207","DOI":"10.1007\/s10898-013-0039-0","article-title":"augmented Lagrangians with possible infeasibility and finite termination for global nonlinear programming","volume":"58","author":"Birgin","year":"2014","journal-title":"J Global Optimiz"},{"year":"1992","series-title":"Lancelot: a fortran package for large-scale nonlinear optimization (Release A), Springer Series in Computational Mathematics","author":"Conn","key":"10.1007\/s13675-015-0052-9_CR9"},{"key":"10.1007\/s13675-015-0052-9_CR10","doi-asserted-by":"crossref","unstructured":"Elahi Y, Aziz IA (2014) Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method. Math Prob Eng 2014 (Article ID 104064)","DOI":"10.1155\/2014\/104064"},{"year":"2002","series-title":"AMPL: a modeling language for mathematical programming","author":"Fourer","key":"10.1007\/s13675-015-0052-9_CR11"},{"key":"10.1007\/s13675-015-0052-9_CR12","unstructured":"GLPK (2015) GNU Project \u2013 Free Software Foundation (FSF). https:\/\/www.gnu.org\/software\/glpk\/. Accessed 24 Feb 2015"},{"key":"10.1007\/s13675-015-0052-9_CR13","doi-asserted-by":"crossref","first-page":"303","DOI":"10.1007\/BF00927673","article-title":"Multiplier and gradient methods","volume":"4","author":"Hestenes","year":"1969","journal-title":"J Optimiz Theory Appl"},{"year":"2007","series-title":"Value at risk: the new benchmark for managing financial risk","author":"Jorion","key":"10.1007\/s13675-015-0052-9_CR14"},{"key":"10.1007\/s13675-015-0052-9_CR15","unstructured":"Kull M (2014) Portfolio optimization for constrained shortfall risk: Implementation and IT Architecture considerations, M.Sc. Thesis, ETH Z\u00fcrich,"},{"key":"10.1007\/s13675-015-0052-9_CR16","doi-asserted-by":"crossref","first-page":"391","DOI":"10.1007\/s10589-008-9196-3","article-title":"Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization","volume":"46","author":"Lim","year":"2010","journal-title":"Comp Optimiz Appl"},{"key":"10.1007\/s13675-015-0052-9_CR17","first-page":"77","article-title":"Portfolio selection","volume":"7","author":"Markowitz","year":"1952","journal-title":"J Finan"},{"key":"10.1007\/s13675-015-0052-9_CR18","doi-asserted-by":"crossref","first-page":"245","DOI":"10.1023\/A:1015298200430","article-title":"Minimization of discontinuous cost functions by smoothing","volume":"71","author":"Mart\u00ednez","year":"2002","journal-title":"Acta Appl Math"},{"key":"10.1007\/s13675-015-0052-9_CR19","doi-asserted-by":"crossref","first-page":"75","DOI":"10.1007\/s11750-010-0169-1","article-title":"Generalized Order-Value Optimization","volume":"20","author":"Mart\u00ednez","year":"2012","journal-title":"TOP"},{"key":"10.1007\/s13675-015-0052-9_CR20","series-title":"Optimization","first-page":"283","article-title":"A method for nonlinear constraints in minimization problems","author":"Powell","year":"1969"},{"key":"10.1007\/s13675-015-0052-9_CR21","doi-asserted-by":"crossref","first-page":"268","DOI":"10.1137\/0312021","article-title":"augmented Lagrange multiplier functions and duality in nonconvex programming","volume":"12","author":"Rockafellar","year":"1974","journal-title":"SIAM J Control Optimiz"},{"key":"10.1007\/s13675-015-0052-9_CR22","doi-asserted-by":"crossref","first-page":"1443","DOI":"10.1016\/S0378-4266(02)00271-6","article-title":"Conditional value-at-risk for general loss distributions","volume":"26","author":"Rockafellar","year":"2002","journal-title":"J Banking Finan"},{"key":"10.1007\/s13675-015-0052-9_CR23","doi-asserted-by":"crossref","first-page":"2541","DOI":"10.1162\/NECO_a_00647","article-title":"Extended robust support vector machine based on financial risk minimization","volume":"26","author":"Takeda","year":"2014","journal-title":"Neural Comp"},{"key":"10.1007\/s13675-015-0052-9_CR24","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1016\/j.neunet.2014.05.006","article-title":"Using financial risk measures for analyzing generalization performance of machine learning models","volume":"57","author":"Takeda","year":"2014","journal-title":"Neural Networks"},{"key":"10.1007\/s13675-015-0052-9_CR25","doi-asserted-by":"crossref","unstructured":"Uryasev S (2000) Conditional value-at-risk: optimization algorithms and applications, In: Proceedings of the IEEE\/IAFE\/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering (CIFEr) 49\u201357","DOI":"10.1109\/CIFER.2000.844598"},{"key":"10.1007\/s13675-015-0052-9_CR26","doi-asserted-by":"crossref","unstructured":"Wang Y, Dang C, Wang S Robust novelty detection via worst case CVaR minimization, IEEE Transactions on Neural Networks and Learning Systems, to appear. doi:10.1109\/TNNLS.2014.2378270","DOI":"10.1109\/TNNLS.2014.2378270"},{"key":"10.1007\/s13675-015-0052-9_CR27","doi-asserted-by":"crossref","first-page":"1155","DOI":"10.1287\/opre.1080.0684","article-title":"Worst-case conditional value-at-risk with application to robust portfolio management","volume":"57","author":"Zhu","year":"2010","journal-title":"Oper Res"}],"container-title":["EURO Journal on Computational Optimization"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s13675-015-0052-9.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/article\/10.1007\/s13675-015-0052-9\/fulltext.html","content-type":"text\/html","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S2192440621000551?httpAccept=text\/xml","content-type":"text\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:S2192440621000551?httpAccept=text\/plain","content-type":"text\/plain","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/s13675-015-0052-9","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,10,31]],"date-time":"2025-10-31T03:45:35Z","timestamp":1761882335000},"score":1,"resource":{"primary":{"URL":"https:\/\/linkinghub.elsevier.com\/retrieve\/pii\/S2192440621000551"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2016,2]]},"references-count":27,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2016,2]]}},"alternative-id":["S2192440621000551"],"URL":"https:\/\/doi.org\/10.1007\/s13675-015-0052-9","relation":{},"ISSN":["2192-4406"],"issn-type":[{"type":"print","value":"2192-4406"}],"subject":[],"published":{"date-parts":[[2016,2]]},"assertion":[{"value":"Elsevier","name":"publisher","label":"This article is maintained by"},{"value":"On the application of an augmented Lagrangian algorithm to some portfolio problems","name":"articletitle","label":"Article Title"},{"value":"EURO Journal on Computational Optimization","name":"journaltitle","label":"Journal Title"},{"value":"https:\/\/doi.org\/10.1007\/s13675-015-0052-9","name":"articlelink","label":"CrossRef DOI link to publisher maintained version"},{"value":"article","name":"content_type","label":"Content Type"},{"value":"Copyright \u00a9 2016 The author(s). Published by Elsevier B.V. on behalf of Association of European Operational Research Societies (EURO). Published by Elsevier Ltd All rights reserved.","name":"copyright","label":"Copyright"}]}}