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We consider the classical Markowitz portfolio optimization problem with additional constraints representing so-called short sales.  The two objectives of this multiobjective problem are the expected return and the variance of a portfolio combined by a number of risky securities. A...
Persistent link: https://www.econbiz.de/10010999614
We consider the classical Markowitz portfolio optimization problem with additional constraints representing so-called short sales.  The two objectives of this multiobjective problem are the expected return and the variance of a portfolio combined by a number of risky securities. A...
Persistent link: https://www.econbiz.de/10010759210
For an optimization problem with a composed objective function and composed constraint functions we determine, by means of the conjugacy approach based on the perturbation theory, some dual problems to it. The relations between the optimal objective values of these duals are studied. Moreover,...
Persistent link: https://www.econbiz.de/10010847933
Persistent link: https://www.econbiz.de/10010949963
A multiobjective programming problem characterized by convex goal functions and linear inequality constraints is studied. The investigation aims to the construction of a multiobjective dual problem permitting the verification of strong duality as well as optimality conditions.  For the...
Persistent link: https://www.econbiz.de/10010999811
A general duality framework in convex multiobjective optimization is established using the scalarization with K-strongly increasing functions and the conjugate duality for composed convex cone-constrained optimization problems. Other scalarizations used in the literature arise as particular...
Persistent link: https://www.econbiz.de/10010999878
For an optimization problem with a composed objective function and composed constraint functions we determine, by means of the conjugacy approach based on the perturbation theory, some dual problems to it. The relations between the optimal objective values of these duals are studied. Moreover,...
Persistent link: https://www.econbiz.de/10010999934
In this paper, we deal with the construction of gap functions for variational inequalities by using an approach which bases on the conjugate duality. Under certain assumptions we also investigate a further class of gap functions for the variational inequality problem, the so-called dual gap...
Persistent link: https://www.econbiz.de/10005050694
Persistent link: https://www.econbiz.de/10005253256
Persistent link: https://www.econbiz.de/10010759171