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Implementable algorithms for stochastic nonlinear programs with applications to portfolio selection and revision
[article]
1979
This dissertation has two main objectives: first, to develop efficient algorithms for the solution of one and two period constrained optimization problems, and second, to apply these methods to the solution of portfolio selection and revision problems. The algorithms developed are based upon the Frank-Wolfe method. A convergent algorithm is developed which modifies this approach to allow for sequences of approximations to the objective and to the gradient of the objective, as well as inexact
doi:10.14288/1.0094923
fatcat:dtpa7tqzvnb47omkowfg3bnv5i