Discrete-Time Constrained Portfolio Optimization: Strong Duality Analysis
نویسنده
چکیده
We study in this paper the strong duality for discrete-time convex constrained portfolio selection problems when adopting a risk neutral computational approach. In contrast to the continuous-time models, there is no known result of the existence conditions in discrete-time models to ensure the strong duality. Investigating the relationship among the primal problem, the Lagrangian dual and the Pliska’s dual, we prove in this paper that the strong duality can be always guaranteed for constrained convex portfolio optimization problems in discrete-time models when the constraints are expressed by a set of convex inequalities.
منابع مشابه
Duality for Linear Chance-constrained Optimization Problems
In this paper we deal with linear chance-constrained optimization problems, a class of problems which naturally arise in practical applications in finance, engineering, transportation and scheduling, where decisions are made in presence of uncertainty. After giving the deterministic equivalent formulation of a linear chance-constrained optimization problem we construct a conjugate dual problem ...
متن کاملConstrained Discrete Optimization via Dual Space Search
This paper proposes a novel algorithm for solving NP-hard constrained discrete minimization problems whose unconstrained versions are solvable in polynomial time such as constrained submodular function minimization. Applications of our algorithm include constrained MAP inference in Markov Random Fields, and energy minimization in various computer vision problems. Our algorithm assumes the exist...
متن کاملPortfolio Optimization with Stochastic Dominance Constraints
We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints on the portfolio return. We develop optimality and duality theory for these models. We construct equivalent optimization models with utility functions. Numerical illustra...
متن کاملEe 381v: Large Scale Optimization 12.1 Last Time 12.2 Quadratically Constrained Quadratic Program
In the previous lecture, in the first place, we talked about duality for general non-convex optimization. And we know that dual functions are always convex. The dual of the dual problem is also convex. In applications, the dual of the dual can be used as the convex relaxation of the primal (and we will see this explicitly in the next lecture). Then, we covered the concepts of weak duality and s...
متن کاملStock Portfolio-Optimization Model by Mean-Semi-Variance Approach Using of Firefly Algorithm and Imperialist Competitive Algorithm
Selecting approaches with appropriate accuracy and suitable speed for the purpose of making decision is one of the managers’ challenges. Also investing decision is one of the main decisions of managers and it can be referred to securities transaction in financial markets which is one of the investments approaches. When some assets and barriers of real world have been considered, optimization of...
متن کامل