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Thi Thu Van Nguyen

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Preprint Aug 2026

Multi-period Value-at-Risk Constrained Portfolio Optimization via DC Programming

A projected inertial Boosted Difference-of-Convex Functions Algorithm (iBDCA) that combines inertial extrapolation, an objective safeguard, and a boosted line search is proposed that is well defined, generates a monotonically decreasing objective sequence, and has only critical accumulation points for the penalized DC...

Thi Thu Van Nguyen · 0 citations