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