On the application of an Augmented Lagrangian algorithm to some portfolio problems
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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.
KeywordsConstrained optimization Augmented Lagrangian Portfolios Generalized Order-Value Optimization Conditional Value-at-Risk
The authors are thankful to the anonymous referees whose comments helped to improve the quality of this work.
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