Continuous Optimization and Applications: Graduate Course - Lecture 31
Presenters
July 20, 2007
Keywords:
- continuous optimization
- constrained optimization
- linear programming
- quadratic programming
- mathematical programming, MATLAB
- portfolio theory
- mathematical economics
- Markowitz portfolio model
- KKT optimality conditions
- covariance matrix estimator
- diversified portfolio
- L^p norms, optimization
- robust optimization
MSC:
- 93D21
- 93D05
- 93D09
- 93Dxx
- 91Gxx
- 91G10
- 91G40
- 91G60
- 90Cxx
- 90C20
- 90C22
- 90C25
- 49-xx
- 49Kxx
- 49K40
- 49Mxx
- 49M20
- 49M29
- 49Nxx
- 49N05
- 49N10
- 49N15
