On the application of an augmented Lagrangian algorithm to some portfolio problems

DOI10.1007/s13675-015-0052-9zbMath1338.91126OpenAlexW2263127837MaRDI QIDQ285925

José Mario Martínez, Ernesto G. Birgin

Publication date: 19 May 2016

Published in: EURO Journal on Computational Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13675-015-0052-9

zbMATH Keywords

constrained optimizationaugmented Lagrangianconditional value-at-riskgeneralized order-value optimizationportfolios

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Portfolio theory (91G10)

Related Items

LMBOPT: a limited memory method for bound-constrained optimization, On the employment of inexact restoration for the minimization of functions whose evaluation is subject to errors, A new augmented Lagrangian method for equality constrained optimization with simple unconstrained subproblem

Uses Software

• LANCELOT
• AMPL
• GLPK
• ALGENCAN

Cites Work

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