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Robust bond portfolio construction via convex-concave saddle point optimization - MaRDI portal

Robust bond portfolio construction via convex-concave saddle point optimization

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Publication:6582426

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DOI10.1007/s10957-024-02436-zMaRDI QIDQ6582426

Stephen W. Boyd, Eric Luxenberg, Philipp Schiele

Publication date: 2 August 2024

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

saddle point portfolio optimization robust optimization yield curve

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Interest rates, asset pricing, etc. (stochastic models) (91G30) Robustness in mathematical programming (90C17)

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