On the application of an augmented Lagrangian algorithm to some portfolio problems (Q285925)
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scientific article; zbMATH DE number 6582794
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | On the application of an augmented Lagrangian algorithm to some portfolio problems |
scientific article; zbMATH DE number 6582794 |
Statements
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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0.7895651459693909
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0.7606845498085022
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0.7451076507568359
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0.733337938785553
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0.7303081750869751
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