The balance space approach in optimization with Riesz spaces valued objectives. An application to financial markets.
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Publication:1416296
DOI10.1016/S0898-1221(02)00201-8zbMath1103.90395OpenAlexW2093806901MaRDI QIDQ1416296
Pedro Jiménez Guerra, María José Muñoz-Bouzo, Alejandro Balbas
Publication date: 14 December 2003
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0898-1221(02)00201-8
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Related Items (4)
Balance set and Pareto solutions in linear space with application to ongoing optimal resource allocation, investment planning, production, and control problems with multiple objectives ⋮ Set contraction algorithm for computing Pareto set in nonconvex nonsmooth multiobjective optimization ⋮ Sequential arbitrage measurements and interest rate envelopes ⋮ Stochastic measures of arbitrage.
Cites Work
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- Theory of multiobjective optimization
- Martingales and arbitrage in multiperiod securities markets
- Equilibria in markets with a Riesz space of commodities
- Banach lattices
- Nonscalarized multiobjective global optimization
- Pareto analysis vis-à-vis balance space approach in multiobjective global optimization
- Equivalence of balance points and Pareto solutions in multiple-objective programming
- Martingales and arbitage in securities markets with transaction costs
- Duality theory and slackness conditions in multiobjective linear programming
- Retrieval and use of the balance set in multiobjective global optimization
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