On the application of an augmented Lagrangian algorithm to some portfolio problems
Author:
Funder
FAPESP
CNPq/FAPERJ
CNPq
Publisher
Elsevier BV
Subject
Computational Mathematics,Control and Optimization,Management Science and Operations Research,Modeling and Simulation
Link
http://link.springer.com/content/pdf/10.1007/s13675-015-0052-9.pdf
Reference27 articles.
1. Minimizing CVaR and VaR for a portfolio of derivatives;Alexander;J Banking Finan,2006
2. On augmented Lagrangian methods with general lower-level constraints;Andreani;SIAM J Optimiz,2008
3. Nonlinear optimization with financial applications;Bartholomew-Biggs,2006
4. Portfolio optimization with structured products under return constraint;Baweja;Yugoslav Jf Oper Res,2015
5. Low Order-Value approach for solving VaR-constrained optimization problems;Birgin;J Global Optimiz,2011
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