On the application of an Augmented Lagrangian algorithm to some portfolio problems
Year of publication: |
February 2016
|
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Authors: | Birgin, Ernesto Julian Goldberg ; Martínez Carrión, José-Miguel |
Published in: |
EURO journal on computational optimization. - Heidelberg : Springer, ISSN 2192-4406, ZDB-ID 2772752-X. - Vol. 4.2016, 1, p. 79-92
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Subject: | Constrained optimization | Augmented Lagrangian | Portfolios | Generalized Order-Value Optimization | Conditional Value-at-Risk | Mathematische Optimierung | Mathematical programming | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure |
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