Bracken and McGill have recently studied two classes of mathematical programs with optimization problems in the constraints [Opns. Res. 21, 37-44 (1973)], the first class involving mathematical ...

Alexander Braun, Hato Schmeiser, Florian Schreiber, Portfolio Optimization Under Solvency II: Implicit Constraints Imposed by the Market Risk Standard Formula, The Journal of Risk and Insurance, Vol.