Optimality conditions for portfolio optimization problems with convex deviation measures as objective functions

DOI10.11650/twjm/1500405353zbMath1183.46068OpenAlexW4254865115MaRDI QIDQ1026966

Gert Wanka, Nicole Lorenz, Radu Ioan Boţ

Publication date: 30 June 2009

Published in: Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11650/twjm/1500405353

zbMATH Keywords

optimality conditionsdualityportfolio optimizationconvex deviation measures

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Duality theory (optimization) (49N15)

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