Introduces the Λ-Newton-Bis algorithm for globally convergent computation of lambda quantiles and integrates it into two portfolio optimization methods, with numerical validation of its performance.
Newton Methods for Nonlinear Problems
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Numerical methods for lambda quantiles: robust evaluation and portfolio optimisation
Introduces the Λ-Newton-Bis algorithm for globally convergent computation of lambda quantiles and integrates it into two portfolio optimization methods, with numerical validation of its performance.