A DC programming approach for a class of bilevel programming problems and its application in portfolio selection

DOI10.3934/NACO.2012.2.167zbMATH Open1254.90175OpenAlexW2323229976MaRDI QIDQ449555FDOQ449555

Authors: Le Thi Hoai An, Tran Duc Quynh, Pham Dinh Tao 

Publication date: 30 August 2012

Published in: Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/naco.2012.2.167

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zbMATH Keywords

DCADC programmingbranch and bound algorithmbilevel problemportfolio selection problem

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Portfolio theory (91G10)

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• Bilevel programming and applications
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• A bi-level programming approach for global investment strategies with financial intermediation
• DC programming techniques for solving a class of nonlinear bilevel programs
• Neural network for solving convex quadratic bilevel programming problems
• A DC algorithm for solving quadratic-linear bilevel optimization problems
• DC programming and DCA for general DC programs

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