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EURO Journal on Computational Optimization

, Volume 4, Issue 1, pp 79–92 | Cite as

On the application of an Augmented Lagrangian algorithm to some portfolio problems

  • E. G. Birgin
  • J. M. Martínez
Research Paper

Abstract

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.

Keywords

Constrained optimization Augmented Lagrangian  Portfolios Generalized Order-Value Optimization Conditional Value-at-Risk 

Notes

Acknowledgments

The authors are thankful to the anonymous referees whose comments helped to improve the quality of this work.

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Copyright information

© EURO - The Association of European Operational Research Societies 2015

Authors and Affiliations

  1. 1.Department of Computer Science, Institute of Mathematics and StatisticsUniversity of São PauloSão PauloBrazil
  2. 2.Department of Applied Mathematics, Institute of Mathematics, Statistics, and Scientific ComputingState University of CampinasCampinasBrazil

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