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Multiplier optimization for constant proportion portfolio insurance (cppi) strategy
Biedova, Olga; Steblovskaya, Victoria - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10012270906
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Optimization and Lagrange multipliers : non-C 1 constraints and "minimal" constraint qualifications
Hurwicz, Leonid; Richter, Marcel K. - In: Advances in mathematical economics 5 (2003), pp. 97-151
Persistent link: https://www.econbiz.de/10001897229
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An adaptive Lagrangian-based scheme for nonconvex composite optimization
Hallak, Nadav; Teboulle, Marc - In: Mathematics of operations research 48 (2023) 4, pp. 2337-2352
Persistent link: https://www.econbiz.de/10014437829
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Interior point methods in DEA to determine non-zero multiplier weights
Bougnol, M. L.; Dulá, José H.; Rouse, P. - In: Computers & operations research : and their … 39 (2012) 3, pp. 698-708
Persistent link: https://www.econbiz.de/10009384600
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Solving an optimization packing problem of cricles and non-convex polygons with rotations in a multiply connected region
Stoyan, Y. G.; Zlotnik, M. V.; Chugay, A. M. - In: Journal of the Operational Research Society : OR 63 (2012) 3, pp. 379-391
Persistent link: https://www.econbiz.de/10009509207
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Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems
De Maere d'Aertrycke, Gauthier; Shapiro, Alexander; … - In: Mathematical methods of operations research 77 (2013) 3, pp. 393-405
Persistent link: https://www.econbiz.de/10009774882
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Numerical study of learning algorithms on Stiefel manifold
Kanamori, Takafumi; Takeda, Akiko - In: Computational Management Science : CMS 11 (2014) 4, pp. 319-340
Persistent link: https://www.econbiz.de/10010437155
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A convex stochastic optimization problem arising from portfolio selection
Jin, Hanqing; Xu, Zuo Quan; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 18 (2008) 1, pp. 171-183
Persistent link: https://www.econbiz.de/10003643506
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Optimal weights in DEA models with weight restrictions
Podinovski, Victor V. - In: European journal of operational research : EJOR 254 (2016) 3, pp. 916-924
Persistent link: https://www.econbiz.de/10011521888
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A new proof of the Lagrange multiplier rule
Brinkhuis, Jan; Protasov, Vladimir - In: Operations research letters 44 (2016) 3, pp. 400-402
Persistent link: https://www.econbiz.de/10011506162