Convex risk minimization via proximal splitting methods

DOI10.1007/s11590-014-0809-8zbMath1331.91157arXiv1304.7694OpenAlexW2027048374MaRDI QIDQ2355313

Christopher Hendrich, Radu Ioan Boţ

Publication date: 22 July 2015

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.7694

zbMATH Keywords

portfolio optimizationutility functionconvex risk measureprimal-dual proximal splitting algorithm

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

Related Items (1)

Uniqueness of DRS as the 2 operator resolvent-splitting and impossibility of 3 operator resolvent-splitting

Cites Work

• Unnamed Item
• A primal-dual splitting method for convex optimization involving Lipschitzian, proximable and linear composite terms
• Primal-dual splitting algorithm for solving inclusions with mixtures of composite, Lipschitzian, and parallel-sum type monotone operators
• Conjugate duality in convex optimization
• Convex measures of risk and trading constraints
• A first-order primal-dual algorithm for convex problems with applications to imaging
• Looking for appropriate qualification conditions for subdifferential formulae and dual representations for convex risk measures
• A splitting algorithm for dual monotone inclusions involving cocoercive operators
• Convergence analysis for a primal-dual monotone + skew splitting algorithm with applications to total variation minimization
• Generalized deviations in risk analysis
• Optimality conditions in portfolio analysis with general deviation measures
• On the maximal monotonicity of subdifferential mappings
• Convex risk measures for portfolio optimization and concepts of flexibility
• Coherent Measures of Risk
• Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
• Duality in Vector Optimization
• A Monotone+Skew Splitting Model for Composite Monotone Inclusions in Duality
• Variational Analysis
• A Primal-Dual Splitting Algorithm for Finding Zeros of Sums of Maximal Monotone Operators
• A Douglas--Rachford Type Primal-Dual Method for Solving Inclusions with Mixtures of Composite and Parallel-Sum Type Monotone Operators
• AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
• Convex analysis and monotone operator theory in Hilbert spaces
• Stochastic finance. An introduction in discrete time

This page was built for publication: Convex risk minimization via proximal splitting methods