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math.OC2023
An Optimization Study of Diversification Return Portfolios
Chao Ding, Houduo Qi
The concept of Diversification Return (DR) was introduced by Booth and Fama in 1990s and it has been well studied in the finance literature mainly focusing on the various sources i…
math.OC2022
Robins-Monro Augmented Lagrangian Method for Stochastic Convex Optimization
Rui Wang, Chao Ding
In this paper, we propose a Robbins-Monro augmented Lagrangian method (RMALM) to solve a class of constrained stochastic convex optimization, which can be regarded as a hybrid of t…