Wednesday, 16:15 - 16:40 h, Room: H 1029

 

Firdevs Ulus
An approximation algorithm for convex vector optimization problems and its application in finance

Coauthors: Andreas Löhne, Birgit Rudloff

 

Abstract:
Linear vector optimization problems (VOP) are well studied
in the literature, and recently there are studies on approximation
algorithms for convex VOP. We propose an approximation algorithm for
convex VOP, which is an extension of Benson’s outer approximation and
provides both inner and outer approximation for the convex optimal
frontier. The algorithm requires solving only one optimization problem
in each iteration step, rather than two as in the literature. We also
extend the algorithm to arbitrary solid polyhedral ordering cones. As
a financial application, we consider a discrete time market model for
d-asset, with proportional transaction costs, over a finite
probability space. In this setting, we study the set valued approach
for utility maximization, and show that this problem can be solved by
reformulating it as a convex VOP and applying the proposed algorithm.

 

Talk 3 of the invited session Wed.3.H 1029
"Applications of vector and set optimization" [...]
Cluster 15
"Multi-objective optimization" [...]

 

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