On the application of an augmented Lagrangian algorithm to some portfolio problems (Q285925)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the application of an augmented Lagrangian algorithm to some portfolio problems |
scientific article |
Statements
On the application of an augmented Lagrangian algorithm to some portfolio problems (English)
0 references
19 May 2016
0 references
constrained optimization
0 references
augmented Lagrangian
0 references
portfolios
0 references
generalized order-value optimization
0 references
conditional value-at-risk
0 references
