Solving nonlinear portfolio optimization problems with the primal-dual interior point method
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- scientific article; zbMATH DE number 2065134
Cites work
- scientific article; zbMATH DE number 1233792 (Why is no real title available?)
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- scientific article; zbMATH DE number 780774 (Why is no real title available?)
- A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
- A Riccati-based primal interior point solver for multistage stochastic programming
- A heuristic for moment-matching scenario generation
- A mean-absolute deviation-skewness portfolio optimization model
- Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs
- Decomposition methods in stochastic programming
- Dual Stochastic Dominance and Related Mean-Risk Models
- High-Performance Computing for Asset-Liability Management
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Nested decomposition of multistage nonlinear programs with recourse
- Numerical Optimization
- On consistency of stochastic dominance and mean-semideviation models
- Parallel interior-point solver for structured quadratic programs: Application to financial planning problems
- Reoptimization With the Primal-Dual Interior Point Method
- Trust Region Methods
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(20)- On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach
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- Solving a linear multiperiod portfolio problem by interior-point methodology
- Newton-like method for nonlinear banded block diagonal system
- A Primal-Dual Decomposition-Based Interior Point Approach to Two-Stage Stochastic Linear Programming
- A primal-dual interior-point algorithm for quadratic programming
- A new interior-point approach for large separable convex quadratic two-stage stochastic problems
- Formulation and solution strategies for nonparametric nonlinear stochastic programmes with an application in finance
- Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
- Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
- A stochastic programming approach for multi-period portfolio optimization
- Exploiting structure in parallel implementation of interior point methods for optimization
- A Distributed Interior-Point KKT Solver for Multistage Stochastic Optimization
- Numerical method for a dynamic optimization problem arising in the modeling of a population of aerosol particles
- On electricity market equilibria with storage: modeling, uniqueness, and a distributed ADMM
- Portfolio rebalancing model using multiple criteria
- Robust ranking and portfolio optimization
- Nonlinear optimization problem of interdependent investment projects portfolio
- A bi-level programming approach for global investment strategies with financial intermediation
- Interior point methods 25 years later
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