Bot, Radu Ioan ; Lorenz, Nicole ; Wanka, Gert : Optimality conditions for portfolio optimization problems with convex deviation measures as objective functions
- Author(s):
-
Bot, Radu Ioan
Lorenz, Nicole
Wanka, Gert
- Title:
- Optimality conditions for portfolio optimization problems with convex deviation measures as objective functions
- Electronic source:
-
application/pdf
- Preprint series:
- Technische Universität Chemnitz, Fakultät für Mathematik (Germany). Preprint 4, 2007
- Mathematics Subject Classification:
-
46N10 [ Applications in optimization, convex analysis, mathematical programming, economics ] 49N15 [ Duality theory ] 90C46 [ Optimality conditions, duality ] - Abstract:
- In this paper we derive by means of the duality theory necessary and sufficient optimality conditions for convex optimization problems having as objective function the composition of a convex function and a linear continuous mapping defined on a separated locally convex space with values in an finite-dimensional space. We use the general results for deriving optimality conditions for two portfolio optimization problems having as objective functions different convex deviation measures.
- Keywords:
- portfolio optimization, duality, convex deviation measures, optimality conditions
- Language:
-
English
- Publication time:
- 2 / 2007
