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http://hdl.handle.net/2445/156337
Title: | Selección de cartera óptima como aplicación de las condiciones Karush-Kuhn-Tuker |
Author: | Yu, Yihao |
Director/Tutor: | Corcuera Valverde, José Manuel |
Keywords: | Optimització matemàtica Treballs de fi de grau Sistemes dinàmics diferenciables Anàlisi funcional Sistemes estocàstics Mathematical optimization Bachelor's theses Differentiable dynamical systems Functional analysis Stochastic systems |
Issue Date: | 20-Jun-2019 |
Abstract: | [en] The Karush-Kuhn-Tucker conditions (in short, the KKT conditions), an extension of the well-known Lagrange multipliers method, have been developed to solve optimization problems in a more general sense, that is, including both inequalities and constraints. On the other hand, the selection of an optimal portfolio conforming the requirements of each investor, requesting a maximum return, a minimum risk or a balance between these two aspects, can be solved with the application of the KKT conditions. |
Note: | Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2019, Director: José Manuel Corcuera Valverde |
URI: | http://hdl.handle.net/2445/156337 |
Appears in Collections: | Treballs Finals de Grau (TFG) - Matemàtiques |
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156337.pdf | Memòria | 589.61 kB | Adobe PDF | View/Open |
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