Minimization of the root of a quadratic functional under an affine equality constraint

Zinoviy Landsman

doi:10.1016/j.cam.2007.05.010

Minimization of the root of a quadratic functional under an affine equality constraint

Zinoviy Landsman

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

We present a way of solving the problem of minimizing the root of quadratic functional subject to an affine constraint. We give an explicit formula for computing the solutions of such a problem. This is of interest for solving significant problems of financial economics as well as some classes of feasibility and optimization problems which frequently occur in tomography and other fields.

Original language	English
Pages (from-to)	319-327
Number of pages	9
Journal	Journal of Computational and Applied Mathematics
Volume	216
Issue number	2
DOIs	https://doi.org/10.1016/j.cam.2007.05.010
State	Published - 1 Jul 2008

Keywords

Covariance
Minimization
Portfolio selection
Relative projection
Root of quadratic functional

ASJC Scopus subject areas

Computational Mathematics
Applied Mathematics

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10.1016/j.cam.2007.05.010

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abstract = "We present a way of solving the problem of minimizing the root of quadratic functional subject to an affine constraint. We give an explicit formula for computing the solutions of such a problem. This is of interest for solving significant problems of financial economics as well as some classes of feasibility and optimization problems which frequently occur in tomography and other fields.",

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AB - We present a way of solving the problem of minimizing the root of quadratic functional subject to an affine constraint. We give an explicit formula for computing the solutions of such a problem. This is of interest for solving significant problems of financial economics as well as some classes of feasibility and optimization problems which frequently occur in tomography and other fields.

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KW - Minimization

KW - Portfolio selection

KW - Relative projection

KW - Root of quadratic functional

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Minimization of the root of a quadratic functional under an affine equality constraint

Abstract

Keywords

ASJC Scopus subject areas

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