Search Results - subject:"Lagrange duality"

Online risk-averse resource allocation in queuing networks

Yu, Guodong - In: IEEE transactions on engineering management : EM 70 (2023) 1, pp. 184-195

Persistent link: https://www.econbiz.de/10014231434

A dual approach to agency problems

Chi, Chang Koo; Choi, Kyoung Jin - In: Journal of mathematical economics 109 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014474775

Optimal investment problem under behavioral setting : a Lagrange duality perspective

Bi, Xiuchun; Cui, Zhenyu; Fan, Jiacheng; Yuan, Lvning; … - In: Journal of economic dynamics & control 156 (2023), pp. 1-31

Persistent link: https://www.econbiz.de/10014480345

Duality theorems for convex and quasiconvex set functions

Suzuki, Satoshi; Kuroiwa, Daishi - In: Operations research forum 1 (2020) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10012237547

Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market

Keykhaei, Reza - In: RAIRO / Operations research 53 (2019) 4, pp. 1171-1186

Persistent link: https://www.econbiz.de/10012118960

Convex and convex-like optimization over a range inclusion problem and first applications

Mokhtar-Kharroubi, Hocine - In: Decisions in economics and finance : DEF ; a journal of … 40 (2017) 1/2, pp. 277-299

Persistent link: https://www.econbiz.de/10011997741

Set-valued shortfall and divergence risk measures

Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48

Persistent link: https://www.econbiz.de/10011733939

Convergence of a proximal algorithm for solving the dual of a generalized fractional program

El Haffari, Mostafa; Roubi, Ahmed - In: RAIRO / Operations research 51 (2017) 4, pp. 985-1004

Persistent link: https://www.econbiz.de/10011859423

A Lagrange duality approach for multi-composed optimization problems

Wanka, Gert; Wilfer, Oleg - In: Top : transactions in operations research 25 (2017) 2, pp. 288-313

Persistent link: https://www.econbiz.de/10011725403

Multivariate Utility Maximization with Proportional Transaction Costs

Owen, Mark; Campi, Luciano - Université Paris-Dauphine (Paris IX) - 2011

We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the...

Persistent link: https://www.econbiz.de/10011073816