On nonsmooth robust multiobjective optimization under generalized convexity with applications to portfolio optimization

Majid Fakhar, Mohammad Reza Mahyarinia and Jafar Zafarani

European Journal of Operational Research, 2018, vol. 265, issue 1, 39-48

Abstract: We introduce a new concept of generalized convexity at a given point for a family of real-valued functions and deduce nonsmooth sufficient optimality conditions for robust (weakly) efficient solutions. In addition, we present a robust duality theory and Mond–Weir type duality for an uncertain multiobjective optimization problem. Furthermore, some nonsmooth saddle-point theorems are obtained under our generalized convexity assumption. Finally we show the viability of our new concept of generalized convexity for robust optimization and portfolio optimization.

Keywords: Robustness and sensitivity analysis; Generalized convexity; Optimality condition; Nonsmooth saddle-point theorem; Robust cardinality/mean-variance model (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:265:y:2018:i:1:p:39-48

DOI: 10.1016/j.ejor.2017.08.003

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