On duality for square root convex programs

Conjugate function theory is used to develop dual programs for nonseparable convex programs involving the square root function. This function arises naturally in finance when one measures the risk of a portfolio by its variance–covariance matrix, in stochastic programming under chance constraints and in location theory. Copyright Springer-Verlag 2007

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Year of publication:	2007
Authors:	Scott, C. ; Jefferson, T.
Published in:	Mathematical Methods of Operations Research. - Springer. - Vol. 65.2007, 1, p. 75-84
Publisher:	Springer
Subject:	Square root functions \| Convex programming \| Conjugate duality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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