Penalty Algorithm Based on Conjugate Gradient Method for Solving Portfolio Management Problem
نویسندگان
چکیده
منابع مشابه
Penalty Algorithm Based on Conjugate Gradient Method for Solving Portfolio Management Problem
A new approach was proposed to reformulate the biobjectives optimization model of portfolio management into an unconstrained minimization problem, where the objective function is a piecewise quadratic polynomial. We presented some properties of such an objective function. Then, a class of penalty algorithms based on the well-known conjugate gradient methods was developed to find the solution of...
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ژورنال
عنوان ژورنال: Journal of Inequalities and Applications
سال: 2009
ISSN: 1029-242X
DOI: 10.1155/2009/970723