On the application of an augmented Lagrangian algorithm to some portfolio problems (Q285925): Difference between revisions

@@ Property / author @@
-Ernesto G. Birgin
@@ Property / author: Ernesto G. Birgin / rank @@
-Normal rank
@@ Property / author @@
-Q235094
@@ Property / author: Q235094 / rank @@
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@@ Property / author @@
+José Mario Martínez
@@ Property / author: José Mario Martínez / rank @@
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@@ Property / author @@
+Ernesto G. Birgin
@@ Property / author: Ernesto G. Birgin / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C06
@@ Property / Mathematics Subject Classification ID: 90C06 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C30
@@ Property / Mathematics Subject Classification ID: 90C30 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+-08
@@ Property / Mathematics Subject Classification ID: 91-08 / rank @@
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@@ Property / zbMATH DE Number @@
+6582794
@@ Property / zbMATH DE Number: 6582794 / rank @@
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@@ Property / zbMATH Keywords @@
+constrained optimization
@@ Property / zbMATH Keywords: constrained optimization / rank @@
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@@ Property / zbMATH Keywords @@
+augmented Lagrangian
@@ Property / zbMATH Keywords: augmented Lagrangian / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+portfolios
@@ Property / zbMATH Keywords: portfolios / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generalized order-value optimization
@@ Property / zbMATH Keywords: generalized order-value optimization / rank @@
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@@ Property / zbMATH Keywords @@
+conditional value-at-risk
@@ Property / zbMATH Keywords: conditional value-at-risk / rank @@
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+AMPL
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+https://doi.org/10.1007/s13675-015-0052-9
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+W2263127837
@@ Property / OpenAlex ID: W2263127837 / rank @@
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@@ Property / cites work @@
+On Augmented Lagrangian Methods with General Lower-Level Constraints
+Normal rank
@@ Property / cites work @@
+Q4661509
@@ Property / cites work: Q4661509 / rank @@
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@@ Property / cites work @@
+Portfolio optimization with structured products under return constraint
+Normal rank
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+Low order-value approach for solving var-constrained optimization problems
+Normal rank
@@ Property / cites work @@
+Global minimization using an augmented Lagrangian method with variable lower-level constraints
+Normal rank
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+Practical Augmented Lagrangian Methods for Constrained Optimization
+Normal rank
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+Augmented Lagrangians with possible infeasibility and finite termination for global nonlinear programming
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+Q4023146
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+Mean-variance-CVaR model of multiportfolio optimization via linear weighted sum method
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+Multiplier and gradient methods
@@ Property / cites work: Multiplier and gradient methods / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
+Normal rank
@@ Property / cites work @@
+Minimization of discontinuous cost functions by smoothing
+Normal rank
@@ Property / cites work @@
+Generalized order-value optimization
@@ Property / cites work: Generalized order-value optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Q5590418
@@ Property / cites work: Q5590418 / rank @@
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@@ Property / cites work @@
+Augmented Lagrange Multiplier Functions and Duality in Nonconvex Programming
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+Extended Robust Support Vector Machine Based on Financial Risk Minimization
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+Using financial risk measures for analyzing generalization performance of machine learning models
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+Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:285925