Multiobjective Lagrangian duality for portfolio optimization with risk measures
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KeywordsMultivariate risk measures; Vector Optimization; Lagrangian Duality; Shadow prices; Image Space Analysis.;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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