CONCAVIFICATION

作品数：2被引量：3H指数：1
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相关期刊：《Journal of Systems Science & Complexity》《Applied Mathematics(A Journal of Chinese Universities)》更多>>
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Optimal investment based on relative performance and weighted utility
《Applied Mathematics(A Journal of Chinese Universities)》2024年第2期328-342,共15页WANG Lei DONG Ying-hui HUA Chun-rong 
Supported by the National Natural Science Foundation of China(12071335);the Humanities and Social Science Research Projects in Ministry of Education(20YJAZH025).
This paper studies the optimal portfolio allocation of a fund manager when he bases decisions on both the absolute level of terminal relative performance and the change value of terminal relative performance compariso...
关键词：relative performance weighted utility S-shaped utility CONCAVIFICATION 
CONVEXIFICATION AND CONCAVIFICATION METHODS FOR SOME GLOBAL OPTIMIZATION PROBLEMS被引量：3
《Journal of Systems Science & Complexity》2004年第3期421-436,共16页WUZhiyou ZHANGLiansheng BAIFusheng YANGXinmin 
This research is supported by the National Natural Science Foundation of China(Grant 10271073).
In this paper, firstly, we propose several convexification and concavification transformations to convert a strictly monotone function into a convex or concave function, then we propose several convexification and con...
关键词：Global optimal solution concave minimization reverse convex programmingproblem D.C. programming problem CONVEXIFICATION CONCAVIFICATION 
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