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.
Minimization of functions having Lipschitz continuous first partial derivatives
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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.