SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES (Q4483762): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.15807/jorsj.44.251 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W10622507 / rank | |||
Normal rank | |||
Latest revision as of 21:00, 19 March 2024
scientific article; zbMATH DE number 1918922
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES |
scientific article; zbMATH DE number 1918922 |
Statements
SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES (English)
0 references
13 October 2003
0 references
large-scale dense non-factorable quadratic programming
0 references
portfolio optimization
0 references
projected steepest descent algorithm
0 references
projected variable metric algorithm
0 references
