| Article ID: | iaor20051938 |
| Country: | Netherlands |
| Volume: | 33 |
| Issue: | 3 |
| Start Page Number: | 319 |
| End Page Number: | 330 |
| Publication Date: | May 2005 |
| Journal: | Operations Research Letters |
| Authors: | Iyengar Garud, Kang Wanmo |
| Keywords: | programming: integer |
Linear programming duality yields efficient algorithms for solving inverse linear programs. We show that special classes of conic programs admit a similar duality and, as a consequence, establish that the corresponding inverse programs are efficiently solvable. We discuss applications of inverse conic programming in portfolio optimization and utility function identification.