| Autor: |
Ferreira, O. P., Gao, Y., Németh, S. Z. |
| Předmět: |
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| Zdroj: |
Optimization; Feb2024, Vol. 73 Issue 2, p251-265, 15p |
| Abstrakt: |
This paper introduces the monotone extended second-order cone (MESOC), which is related to the monotone cone and the second-order cone. Some properties of the MESOC are presented and its dual cone is computed. Projecting onto the MESOC is reduced to the pool-adjacent-violators algorithm (PAVA) of isotonic regression. An application of MESOC to portfolio optimization is provided. Some broad descriptions of possible MESOC-regression models are also outlined. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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