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Solving cardinality constrained portfolio optimization problems by C1,1 approximations

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  • Davide La Torre

Abstract

In the paper we study a class of nonsmooth optimization problems arising in the theory of cardinality constrained portfolio analysis. The involved functions in this model arestrongly nondifferentiable; we give second order optimality conditions by C{1,1} approximations.

Suggested Citation

  • Davide La Torre, 2002. "Solving cardinality constrained portfolio optimization problems by C1,1 approximations," Departmental Working Papers 2002-022, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    • Handle: RePEc:mil:wpdepa:2002-022
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