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Bot, Radu Ioan; Lorenz, Nicole; Wanka, Gert : Optimality conditions for portfolio optimization problems with convex deviation measures as objective functions

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
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