arXiv subjects

Max V. Lemes

Publications and source records attributed to Max V. Lemes.

2 recordsLinked to original sources

arXiv2024

Introducao a otimizacao de Portfolio

In this work, we introduce Modern Portfolio Theory using basic concepts from linear algebra, differential calculus, statistics, and optimization. This theory allows us to measure the return and risk of an investment portfolio, serving as a basis for decision-making in the financial market. As an application, we will present four very simple investment strategies that aim to minimize the risk of investing in only two assets, outperforming the CDI (Interbank Deposit Certificate) yield.

math.OC↗

arXiv2021

On the inexact scaled gradient projection method

The purpose of this paper is to present an inexact version of the scaled gradient projection method on a convex set, which is inexact in two sense. First, an inexact projection on the feasible set is computed, allowing for an appropriate relative error tolerance. Second, an inexact non-monotone line search scheme is employed to compute a step size which defines the next iteration. It is shown that the proposed method has similar asymptotic convergence properties and iteration-complexity bounds as the usual scaled gradient projection method employing monotone line searches.

math.OC↗