Solving cardinality constrained portfolio optimization problems by C1,1 approximations

In the paper we study a class of nonsmooth optimization problems arising in the theory of cardinality constrained portfolio analysis. The involved functions in this model arestrongly nondifferentiable; we give second order optimality conditions by C{1,1} approximations.

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Year of publication:	2002-01-01
Authors:	Torre, Davide La
Institutions:	Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005007208