OPTIMALITY CONDITIONS FOR PORTFOLIO OPTIMIZATION PROBLEMS WITH CONVEX DEVIATION MEASURES AS OBJECTIVE FUNCTIONS
Radu Ioan Boţ, Nicole Lorenz, Gert Wanka · Taiwanese Journal of Mathematics · 2009
In this paper we derive by means of the duality theory necessary and sufficient optimality conditions for convex optimization problems having as objective function the composition of a convex function with a linear mapping defined on a finite-dimensional space with values in a Hausdorff locally convex space. We use the general results for deriving optimality conditions for two portfolio optimization problems having as objective functions different convex deviation measures.