The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets.

DOI10.1016/S0898-1221(02)00201-8zbMath1103.90395MaRDI QIDQ1416296

Pedro Jiménez Guerra, María José Muñoz-Bouzo, Alejandro Balbas

Publication date: 14 December 2003

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0898-1221(02)00201-8

zbMATH Keywords

Global optimization; object; Vector optimization; Balance set; Financial arbitrage; Riesz space valued

Mathematics Subject Classification ID

90C29: Multi-objective and goal programming

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Set contraction algorithm for computing Pareto set in nonconvex nonsmooth multiobjective optimization, Sequential arbitrage measurements and interest rate envelopes, Balance set and Pareto solutions in linear space with application to ongoing optimal resource allocation, investment planning, production, and control problems with multiple objectives, Stochastic measures of arbitrage.

Cites Work

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