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Convergence analysis of a modified BFGS method on convex minimizations


  • Gonglin Yuan


  • Zengxin Wei



No abstract is available for this item.

Suggested Citation

  • Gonglin Yuan & Zengxin Wei, 2010. "Convergence analysis of a modified BFGS method on convex minimizations," Computational Optimization and Applications, Springer, vol. 47(2), pages 237-255, October.
  • Handle: RePEc:spr:coopap:v:47:y:2010:i:2:p:237-255 DOI: 10.1007/s10589-008-9219-0

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    References listed on IDEAS

    1. Guastaroba, Gianfranco & Mansini, Renata & Speranza, M. Grazia, 2009. "On the effectiveness of scenario generation techniques in single-period portfolio optimization," European Journal of Operational Research, Elsevier, vol. 192(2), pages 500-511, January.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Hans Kellerer & Renata Mansini & M. Speranza, 2000. "Selecting Portfolios with Fixed Costs and Minimum Transaction Lots," Annals of Operations Research, Springer, vol. 99(1), pages 287-304, December.
    4. N. J. Jobst & M. D. Horniman & C. A. Lucas & G. Mitra, 2001. "Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 489-501.
    5. Hiroshi Konno & Rei Yamamoto, 2005. "Integer programming approaches in mean-risk models," Computational Management Science, Springer, vol. 4(4), pages 339-351, November.
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