Taiwanese Journal of Mathematics

OPTIMALITY CONDITIONS FOR PORTFOLIO OPTIMIZATION PROBLEMS WITH CONVEX DEVIATION MEASURES AS OBJECTIVE FUNCTIONS

Radu Ioan Boţ, Nicole Lorenz, and Gert Wanka

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Abstract

In this paper we derive by means of the duality theory necessary and sufficient optimality conditions for convex optimization problems having as objective function the composition of a convex function with a linear mapping defined on a finite-dimensional space with values in a Hausdorff locally convex space. We use the general results for deriving optimality conditions for two portfolio optimization problems having as objective functions different convex deviation measures.

Article information

Source
Taiwanese J. Math., Volume 13, Number 2A (2009), 515-533.

Dates
First available in Project Euclid: 18 July 2017

Permanent link to this document
https://projecteuclid.org/euclid.twjm/1500405353

Digital Object Identifier
doi:10.11650/twjm/1500405353

Mathematical Reviews number (MathSciNet)
MR2500004

Zentralblatt MATH identifier
1183.46068

Subjects
Primary: 46N10: Applications in optimization, convex analysis, mathematical programming, economics 49N15: Duality theory 90C46: Optimality conditions, duality [See also 49N15]

Keywords
portfolio optimization duality convex deviation measures optimality conditions

Citation

Ioan Boţ, Radu; Lorenz, Nicole; Wanka, Gert. OPTIMALITY CONDITIONS FOR PORTFOLIO OPTIMIZATION PROBLEMS WITH CONVEX DEVIATION MEASURES AS OBJECTIVE FUNCTIONS. Taiwanese J. Math. 13 (2009), no. 2A, 515--533. doi:10.11650/twjm/1500405353. https://projecteuclid.org/euclid.twjm/1500405353


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