On duality for square root convex programs

C. Scott () and T. Jefferson

Mathematical Methods of Operations Research, 2007, vol. 65, issue 1, 75-84

Abstract: Conjugate function theory is used to develop dual programs for nonseparable convex programs involving the square root function. This function arises naturally in finance when one measures the risk of a portfolio by its variance–covariance matrix, in stochastic programming under chance constraints and in location theory. Copyright Springer-Verlag 2007

Keywords: Square root functions; Convex programming; Conjugate duality (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s00186-006-0101-5

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