Solving cardinality constrained portfolio optimization problems by C1,1 approximations

Davide La Torre

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: In the paper we study a class of nonsmooth optimization problems arising in the theory of cardinality constrained portfolio analysis. The involved functions in this model arestrongly nondifferentiable; we give second order optimality conditions by C{1,1} approximations.

Date: 2002-01-01
New Economics Papers: this item is included in nep-fin
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Persistent link: https://EconPapers.repec.org/RePEc:mil:wpdepa:2002-22

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