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

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On the application of an augmented Lagrangian algorithm to some portfolio problems
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    On the application of an augmented Lagrangian algorithm to some portfolio problems (English)
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    19 May 2016
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    constrained optimization
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    augmented Lagrangian
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    portfolios
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    generalized order-value optimization
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    conditional value-at-risk
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