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The Mean-Variance-CVaR model for Portfolio Optimization Modeling using a Multi-Objective Approach Based on a Hybrid Method

R. Aboulaich, R. Ellaia, S. El Moumen (2010)

Mathematical Modelling of Natural Phenomena

In this paper we present a new hybrid method, called SASP method. We propose the hybridization of two methods, the simulated annealing (SA), which belong to the class of global optimization based on the principles of thermodynamics, and the descent method were we estimate the gradient using the simultaneous perturbation. This hybrid method gives better results. We use the Normal Boundary Intersection approach (NBI) based on the SASP method to solve...

Theorems of the alternative for cones and Lyapunov regularity of matrices

Bryan Cain, Daniel Hershkowitz, Hans Schneider (1997)

Czechoslovak Mathematical Journal

Standard facts about separating linear functionals will be used to determine how two cones C and D and their duals C * and D * may overlap. When T V W is linear and K V and D W are cones, these results will be applied to C = T ( K ) and D , giving a unified treatment of several theorems of the alternate which explain when C contains an interior point of D . The case when V = W is the space H of n × n Hermitian matrices, D is the n × n positive semidefinite matrices, and T ( X ) = A X + X * A yields new and known results about the existence of block diagonal...

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