Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization.
Eric LuxenbergPhilipp SchieleStephen P. BoydPublished in: J. Optim. Theory Appl. (2024)
Keyphrases
- saddle point
- convex concave
- variational inequalities
- penalty function
- primal dual
- maximum margin
- structured prediction
- discrete space
- numerical methods
- interior point
- global constraints
- dirichlet distribution
- structured output
- support vector
- constrained optimization
- sensitivity analysis
- discrete tomography
- convex hull