On the application of an augmented Lagrangian algorithm to some portfolio problems | Zendy

E. G. Birgin | Zendy; J. M. Martı́nez | Zendy

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On the application of an augmented Lagrangian algorithm to some portfolio problems

Author(s) -

E. G. Birgin,

J. M. Martı́nez

Publication year - 2015

Publication title -

euro journal on computational optimization

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.95

H-Index - 14

eISSN - 2192-4414

pISSN - 2192-4406

DOI - 10.1007/s13675-015-0052-9

Subject(s) - augmented lagrangian method , mathematical optimization , portfolio , lagrangian , computer science , scale (ratio) , portfolio optimization , software , mathematics , economics , financial economics , physics , quantum mechanics , programming language

Algencan is a freely available piece of software that aims to solve smooth large-scale constrained optimization problems. When applied to specific problems, obtaining a good performance in terms of efficacy and efficiency may depend on careful choices of options and parameters. In the present paper, the application of Algencan to four portfolio optimization problems is discussed and numerical results are presented and evaluated.

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