Variational methods in partially ordered spaces (with A. Göpfert, C. Zalinescu and H. Riahi) Springer Verlag 2003, ISBN 0-387-00452-1.
We consider a portfolio problem when a Tail Conditional Expectation constraint is imposed. The financial market is composed of n risky assets driven by geometric Brownian motion and one risk-free asset. The Tail Conditional Expectation is calculated for short intervals of time and imposed as risk constraint dynamically. The method of Lagrange multipliers is… (More)
We consider the solution of technical optimization problems involving highly time-consuming calculations. Usually, these possibly multiobjective optimization problems come along with almost no knowledge about the behaviour of the objective functions and many local optima. In most cases, the problems are not sufficiently solvable by traditional… (More)