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An incremental bundle method for portfolio selection problem under second-order stochastic dominance |
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| Authors: | Lv Jian Xiao Ze-Hao Pang Li-Ping |
| Institution: | 1.Faculty of Mathematical Sciences, University of Guilan, Rasht, Iran ; |
| Abstract: | Numerical Algorithms - We propose a preconditioner to accelerate the convergence of the GMRES iterative method for solving the system of linear equations obtained from discretize-then-optimize... |
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