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.
Risk sharing with lambda value at risk under heterogeneous beliefs
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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.