| Full text | |
| Author(s): |
Total Authors: 4
|
| Affiliation: | [1] Univ Sao Paulo, Dept Comp Sci IME USP, BR-05508090 Sao Paulo - Brazil
[2] Univ Estadual Campinas, Inst Math Stat & Sci Comp IMECC, Dept Appl Math, BR-13083859 Campinas, SP - Brazil
[3] Univ Novi Sad, Dept Math & Informat, Novi Sad 21000 - Serbia
Total Affiliations: 3
|
| Document type: | Journal article |
| Source: | Journal of Global Optimization; v. 51, n. 4, p. 715-742, DEC 2011. |
| Web of Science Citations: | 9 |
| Abstract | |
In Low Order-Value Optimization (LOVO) problems the sum of the r smallest values of a finite sequence of q functions is involved as the objective to be minimized or as a constraint. The latter case is considered in the present paper. Portfolio optimization problems with a constraint on the admissible Value at Risk (VaR) can be modeled in terms of a LOVO problem with constraints given by Low order-value functions. Different algorithms for practical solution of this problem will be presented. Using these techniques, portfolio optimization problems with transaction costs will be solved. (AU) | |
| FAPESP's process: | 07/06663-0 - Order value optimization applied to inverse Nash-Equilibrium |
| Grantee: | Luis Felipe Cesar da Rocha Bueno |
| Support Opportunities: | Scholarships in Brazil - Doctorate |
| FAPESP's process: | 09/10241-0 - Theory and software in computational methods for optimization |
| Grantee: | Ernesto Julián Goldberg Birgin |
| Support Opportunities: | Regular Research Grants |
| FAPESP's process: | 06/53768-0 - Computational methods of optimization |
| Grantee: | José Mário Martinez Perez |
| Support Opportunities: | Research Projects - Thematic Grants |