Abstract. A multiobjective optimization problem (MOP) with inequality and equality constraints is considered where the objective and inequality constraint functions are locally Lipschitz and equality ...

Each equality constraint and each active inequality constraint reduce the dimension (degrees of freedom) of the optimization problem. In practice, the active constraints can be satisfied only with ...

So, introducing portfolio constraints directly into factor optimization would yield overly conservative factor weights which, in turn, would result in overly low portfolio volatility.

This result is obtained by first showing that the same result holds for inequality constrained nonlinear least-squares. As a consequence, the presence of (possibly nonconvex) equality/inequality ...

ABSTRACT Recently, a new approach for optimization of conditional value-at-risk (CVAR) was suggested and tested with several applications. For continuous distributions, CVAR is defined as the expected ...