Optimality conditions for portfolio optimization problems with convex deviation measures as objective functions
نویسندگان
چکیده
Abstract. In this paper we derive by means of the duality theory necessary and sufficient optimality conditions for convex optimization problems having as objective function the composition of a convex function and a linear continuous mapping defined on a separated locally convex space with values in an finitedimensional space. We use the general results for deriving optimality conditions for two portfolio optimization problems having as objective functions different convex deviation measures.
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