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.
On the class of elliptical distributions and their applications to the theory of portfolio choice
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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.