Abstract
This paper introduces the monotone extended second-order cone (MESOC), which is related to the monotone cone and the second-order cone. Some properties of the MESOC are presented and its dual cone is computed. Projecting onto the MESOC is reduced to the pool-adjacent-violators algorithm (PAVA) of isotonic regression. An application of MESOC to portfolio optimisation is provided. Some broad descriptions
of possible MESOC-regression models are also outlined.
of possible MESOC-regression models are also outlined.
Original language | English |
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Pages (from-to) | 1-15 |
Number of pages | 15 |
Journal | Optimization |
Volume | 2022 |
Early online date | 21 Jul 2022 |
DOIs | |
Publication status | E-pub ahead of print - 21 Jul 2022 |
Keywords
- Extended second-order cone
- dual cone
- isotonic regression
- metric projection