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

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+On Augmented Lagrangian Methods with General Lower-Level Constraints
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+Q4661509
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+Portfolio optimization with structured products under return constraint
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+Global minimization using an augmented Lagrangian method with variable lower-level constraints
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+Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
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+Generalized order-value optimization
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