-convex set-valued maps with values in .
Pénalisation dans l'optimisation sur l'ensemble faiblement efficient
Penalty algorithm based on conjugate gradient method for solving portfolio management problem.
Perturbation theory of duality in vector nonconvex optimization via the abstract duality scheme
Producing the tangency portfolio as a corner portfolio
One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset. In this paper, we introduce a method for which the tangency portfolio can be produced as a corner portfolio. So, the tangency portfolio can be computed easily and fast by any algorithm designed for tracing out the M-V efficient frontier via...
Programmation bivalente à plusieurs fonctions économiques