Duality for portfolio optimization with short sales

DOI10.1007/S001860100114zbMath1061.91034OpenAlexW2044060196MaRDI QIDQ1396969

Lars Göhler, Gert Wanka

Publication date: 15 July 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860100114

zbMATH Keywords

efficiencymultiobjective duality

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Optimality conditions and duality in mathematical programming (90C46) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10)

Related Items (2)

An algorithm for portfolio selection in a frictional market ⋮ On Lagrangian duality in vector optimization: applications to the linear case

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