Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization.

Eric Luxenberg Philipp Schiele Stephen P. Boyd

Published 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