Penalty Algorithm Based on Conjugate Gradient Method for Solving Portfolio Management Problem
A new approach was proposed to reformulate the biobjectives optimization model of portfolio management into an unconstrained minimization problem, where the objective function is a piecewise quadratic polynomial. We presented some properties of such an objective function. Then, a class of penalty al...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2009-01-01
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| Series: | Journal of Inequalities and Applications |
| Online Access: | http://dx.doi.org/10.1155/2009/970723 |