Low order-value approach for solving var-constrained optimization problems

DOI10.1007/s10898-011-9656-7zbMath1269.65052OpenAlexW1985736102MaRDI QIDQ656968

José Mario Martínez, Ernesto G. Birgin, Luís Felipe Bueno, Nataša Krejić

Publication date: 13 January 2012

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-011-9656-7

zbMATH Keywords

optimizationalgorithmsnumerical examplesportfolio optimizationnumerical algorithmsaugmented Lagrangianvalue at risklow order-value optimizationorder-value optimization

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Portfolio theory (91G10)

Related Items

On the application of an augmented Lagrangian algorithm to some portfolio problems, Optimality condition and complexity of order-value optimization problems and low order-value optimization problems, Optimal portfolio trading subject to stochastic dominance constraints under second‐order autoregressive price dynamics, VaR optimal portfolio with transaction costs, A relaxed constant positive linear dependence constraint qualification and applications, A robust method based on LOVO functions for solving least squares problems, The risk-averse newsvendor problem with random capacity

Uses Software

• alphaBB

Cites Work

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