Convex risk minimization via proximal splitting methods (Q2355313)
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scientific article
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| English | Convex risk minimization via proximal splitting methods |
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Convex risk minimization via proximal splitting methods (English)
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22 July 2015
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The authors ``investigate the applicability of a recently introduced primal-dual splitting method in the context of solving portfolio optimization problems which assume the minimization of risk measures associated to different convex utility functions.'' Numerical experiments are discussed as well.
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portfolio optimization
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convex risk measure
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utility function
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primal-dual proximal splitting algorithm
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0.7864052057266235
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0.7710229158401489
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0.7586082220077515
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0.7566787004470825
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