Set-valued duality theory for multiple objective linear programs and application to mathematical finance

Mathematical Methods of Operations Research

Volumn 69, Issue 1, 2009, Pages 159-179

  Heyde, Frank ^a   Löhne, Andreas ^a   Tammer, Christiane ^a  

^a MARTIN LUTHER UNIVERSITY HALLE WITTENBERG   (Germany)

Author keywords

Attainment in vertices; Duality; Infimal set; Markowitz model; Multiobjective optimization

Indexed keywords

APPLICATIONS; FINANCIAL DATA PROCESSING; OPTIMIZATION; PROGRAMMING THEORY; RISK ASSESSMENT; SET THEORY;

ATTAINMENT IN VERTICES; CLASSICAL COUNTERPARTS; COMPLETE LATTICES; CONDITIONAL VALUE AT RISKS; DUAL PROBLEMS; DUALITY; DUALITY GAPS; DUALITY THEORIES; FEASIBLE SETS; FINITE SETS; INFIMAL SET; LINEAR CONSTRAINTS; MARKOWITZ MODEL; MATHEMATICAL FINANCES; MINIMAL POINTS; MULTIPLE OBJECTIVE LINEAR PROGRAMS; PORTFOLIO OPTIMIZATIONS; RIGHT-HAND SIDES; SIMPLE STRUCTURES; SIMPLEX ALGORITHMS; VECTOR-VALUED;

MULTIOBJECTIVE OPTIMIZATION;

EID: 58849104050     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-008-0216-y     Document Type: Article

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