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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,694 papers · 148 categories

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0111 · Feb 202419922001200920172026
1 result for “BDCA”
The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimizationmath.OC

Boosted Difference of Convex Functions Algorithm solves VaR constrained portfolio optimization.

problem Designing VaR optimal portfolios under financial regulations.
method Boosted Difference of Convex Functions Algorithm (BDCA) with a novel line search framework.
result BDCA linearly converges to a Karush-Kuhn-Tucker point for VaR constrained portfolio problems.
Value-at-Riskportfolio optimizationDifference of Convex FunctionsBDCAKKT point
2024-02-14abs ↗pdf ↗