Results 111 to 120 of about 2,235,647 (195)

Multiobjective Lagrangian duality for portfolio optimization with risk measures [PDF]

open access: yes
In this paper we present an application for a multiobjective optimization problem. The objective functions of the primal problem are the risk and the expected pain associated to a portfolio vector. Then, we present a Lagrangian dual problem for it.
Elisa Pagani
core  

Home - About - Disclaimer - Privacy