An Infeasible Incremental Bundle Method for Nonsmooth Optimization Problem Based on CVaR Portfolio

For CVaR (conditional value-at-risk) portfolio nonsmooth optimization problem, we propose an infeasible incremental bundle method on the basis of the improvement function and the main idea of incremental method for solving convex finite min-max problems. The presented algorithm only employs the info...

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Bibliographic Details
Main Authors: Jia-Tong Li, Jie Shen, Na Xu
Format: Article
Language:English
Published: Wiley 2021-01-01
Series:Complexity
Online Access:http://dx.doi.org/10.1155/2021/6640781
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