On the application of an augmented Lagrangian algorithm to some portfolio problems

Algencan is a freely available piece of software that aims to solve smooth large-scale constrained optimization problems. When applied to specific problems, obtaining a good performance in terms of efficacy and efficiency may depend on careful choices of options and parameters. In the present paper,...

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Autores principales:	E.G. Birgin, J.M. Martínez
Formato:	article
Lenguaje:	EN
Publicado:	Elsevier 2016
Materias:	Constrained optimization augmented Lagrangian Portfolios Generalized Order-Value Optimization Conditional Value-at-Risk Applied mathematics. Quantitative methods T57-57.97 Electronic computers. Computer science QA75.5-76.95
Acceso en línea:	https://doaj.org/article/b26fc2d7bf9d45808e85a8ea3097664a
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spelling	oai:doaj.org-article:b26fc2d7bf9d45808e85a8ea3097664a2021-12-02T05:00:49ZOn the application of an augmented Lagrangian algorithm to some portfolio problems2192-440610.1007/s13675-015-0052-9https://doaj.org/article/b26fc2d7bf9d45808e85a8ea3097664a2016-02-01T00:00:00Zhttp://www.sciencedirect.com/science/article/pii/S2192440621000551https://doaj.org/toc/2192-4406Algencan is a freely available piece of software that aims to solve smooth large-scale constrained optimization problems. When applied to specific problems, obtaining a good performance in terms of efficacy and efficiency may depend on careful choices of options and parameters. In the present paper, the application of Algencan to four portfolio optimization problems is discussed and numerical results are presented and evaluated.E.G. BirginJ.M. MartínezElsevierarticleConstrained optimizationaugmented LagrangianPortfoliosGeneralized Order-Value OptimizationConditional Value-at-RiskApplied mathematics. Quantitative methodsT57-57.97Electronic computers. Computer scienceQA75.5-76.95ENEURO Journal on Computational Optimization, Vol 4, Iss 1, Pp 79-92 (2016)
institution	DOAJ
collection	DOAJ
language	EN
topic	Constrained optimization augmented Lagrangian Portfolios Generalized Order-Value Optimization Conditional Value-at-Risk Applied mathematics. Quantitative methods T57-57.97 Electronic computers. Computer science QA75.5-76.95
spellingShingle	Constrained optimization augmented Lagrangian Portfolios Generalized Order-Value Optimization Conditional Value-at-Risk Applied mathematics. Quantitative methods T57-57.97 Electronic computers. Computer science QA75.5-76.95 E.G. Birgin J.M. Martínez On the application of an augmented Lagrangian algorithm to some portfolio problems
description	Algencan is a freely available piece of software that aims to solve smooth large-scale constrained optimization problems. When applied to specific problems, obtaining a good performance in terms of efficacy and efficiency may depend on careful choices of options and parameters. In the present paper, the application of Algencan to four portfolio optimization problems is discussed and numerical results are presented and evaluated.
format	article
author	E.G. Birgin J.M. Martínez
author_facet	E.G. Birgin J.M. Martínez
author_sort	E.G. Birgin
title	On the application of an augmented Lagrangian algorithm to some portfolio problems
title_short	On the application of an augmented Lagrangian algorithm to some portfolio problems
title_full	On the application of an augmented Lagrangian algorithm to some portfolio problems
title_fullStr	On the application of an augmented Lagrangian algorithm to some portfolio problems
title_full_unstemmed	On the application of an augmented Lagrangian algorithm to some portfolio problems
title_sort	on the application of an augmented lagrangian algorithm to some portfolio problems
publisher	Elsevier
publishDate	2016
url	https://doaj.org/article/b26fc2d7bf9d45808e85a8ea3097664a
work_keys_str_mv	AT egbirgin ontheapplicationofanaugmentedlagrangianalgorithmtosomeportfolioproblems AT jmmartinez ontheapplicationofanaugmentedlagrangianalgorithmtosomeportfolioproblems
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On the application of an augmented Lagrangian algorithm to some portfolio problems

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