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Computational Results

  • Oliver Stein
Chapter
  • 240 Downloads
Part of the Nonconvex Optimization and Its Applications book series (NOIA, volume 71)

Abstract

For the following numerical illustrations we implemented the main method from Section 5.2 in Matlab 5.3 and used the routine fmincon from its Optimization Toolbox 2.0 to replace the “black box” in step 3 of the method. All examples were run on a 800 MHz Linux PC.

Keywords

Optimal Portfolio Order Optimality Condition Ellipsoidal Uncertainty Optimal Error Bound Concave Quadratic Function 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2003

Authors and Affiliations

  • Oliver Stein
    • 1
  1. 1.Department of MathematicsAachen UniversityGermany

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