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An Efficient and Concise Algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model


An Efficient and Concise Algorithm for Convex Quadratic Programming and Its Application to Markowitz’s Portfolio Selection Model



Veröffentlicht: 2011 November
Erscheinungsort: USA
Journal: Technology and Investment
Nummer: 04
Seiten: 229-239

Volume: 02


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Kurzfassung
This paper presents a pivoting-based method for solving convex quadratic programming and then shows how to use it together with a parameter technique to solve mean-variance portfolio selection problems.

ISSN: 2150-4067
Weitere Informationen unter: Link
DOI Link: 10.4236/ti.2011.24024



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