On the application of an augmented Lagrangian algorithm to some portfolio problems

Abstract

Algencan is a freely available piece of software that aims to solve smooth large-scale constrained optimization problems. When applied to specific problems, obtaining a good performance in terms of efficacy and efficiency may depend on careful choices of options and parameters. In the present paper, the application of Algencan to four portfolio optimization problems is discussed and numerical results are presented and evaluated.

Keywords

• Constrained optimization
• augmented Lagrangian
• Portfolios
• Generalized Order-Value Optimization
• Conditional Value-at-Risk