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zbMath0446.90064MaRDI QIDQ3892078

William T. Ziemba, J. G. Kallberg

Publication date: 1980

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

implementation Frank-Wolfe algorithm two-stage stochastic programming portfolio selection problem proofs of convergence approximate function evaluations approximate gradient evaluations inexact linear searches portfolio revision problems

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (1)

Generalized concavity of a function in portfolio theory

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