Solving nonlinear portfolio optimization problems with the primal-dual interior point method
From MaRDI portal
Publication:877584
DOI10.1016/J.EJOR.2006.03.006zbMATH Open1121.90117OpenAlexW1984862813MaRDI QIDQ877584FDOQ877584
Andreas Grothey, Jacek Gondzio
Publication date: 3 May 2007
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2006.03.006
Recommendations
- A Primal-Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Programming
- A Riccati-based primal interior point solver for multistage stochastic programming
- A primal-dual decomposition algorithm for multistage stochastic convex programming
- An interior point algorithm for large scale portfolio optimization
- scientific article; zbMATH DE number 2065134
Cites Work
- Numerical Optimization
- Title not available (Why is that?)
- Trust Region Methods
- Dual Stochastic Dominance and Related Mean-Risk Models
- On consistency of stochastic dominance and mean-semideviation models
- Decomposition methods in stochastic programming
- A heuristic for moment-matching scenario generation
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Reoptimization With the Primal-Dual Interior Point Method
- A mean-absolute deviation-skewness portfolio optimization model
- Title not available (Why is that?)
- Title not available (Why is that?)
- High-Performance Computing for Asset-Liability Management
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
- Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
- A Riccati-based primal interior point solver for multistage stochastic programming
- Nested decomposition of multistage nonlinear programs with recourse
Cited In (19)
- Newton-like method for nonlinear banded block diagonal system
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- Interior point methods 25 years later
- A primal-dual interior-point algorithm for quadratic programming
- Portfolio rebalancing model using multiple criteria
- Robust ranking and portfolio optimization
- A bi-level programming approach for global investment strategies with financial intermediation
- A warm-start approach for large-scale stochastic linear programs
- A Distributed Interior-Point KKT Solver for Multistage Stochastic Optimization
- Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
- Numerical method for a dynamic optimization problem arising in the modeling of a population of aerosol particles
- A stochastic programming approach for multi-period portfolio optimization
- On electricity market equilibria with storage: modeling, uniqueness, and a distributed ADMM
- A new interior-point approach for large separable convex quadratic two-stage stochastic problems
- Solving a linear multiperiod portfolio problem by interior-point methodology
- Exploiting structure in parallel implementation of interior point methods for optimization
- Nonlinear optimization problem of interdependent investment projects portfolio
- On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach
- A Primal-Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Programming
This page was built for publication: Solving nonlinear portfolio optimization problems with the primal-dual interior point method
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q877584)
