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Search: subject:"Nonconvex quadratic program"
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Mathematical programming
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nonconvex quadratic program
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breakpoint
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convex relaxation
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successive convex optimization
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Journal of Global Optimization
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Effective algorithms for optimal portfolio deleveraging problem with cross impact
Luo, Hezhi
;
Chen, Yuanyuan
;
Zhang, Xianye
;
Li, Duan
; …
- In:
Mathematical finance : an international journal of …
34
(
2024
)
1
,
pp. 36-89
Persistent link: https://www.econbiz.de/10014471144
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Analytical results and efficient algorithm for optimal portfolio deleveraging with market impact
Chen, Jingnan
;
Feng, Liming
;
Peng, Jiming
;
Ye, Yinyu
- In:
Operations research
62
(
2014
)
1
,
pp. 195-206
Persistent link: https://www.econbiz.de/10010338535
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On zero duality gap in nonconvex quadratic programming problems
Zheng, X.
;
Sun, X.
;
Li, D.
;
Xu, Y.
- In:
Journal of Global Optimization
52
(
2012
)
2
,
pp. 229-242
Persistent link: https://www.econbiz.de/10010896398
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