Efficient implementation of an active set algorithm for large-scale portfolio selection (Q925841): Difference between revisions

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+Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
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+Q4215365
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+Large-Scale Portfolio Optimization
@@ Property / cites work: Large-Scale Portfolio Optimization / rank @@
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+An Algorithm for Large-Scale Quadratic Programming
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+Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
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+Numerical Optimization
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+An Algorithm for Portfolio Optimization with Transaction Costs
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+Heuristics for cardinality constrained portfolio optimization
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+Randomly generating portfolio-selection covariance matrices with specified distributional characteristics
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+Q5689624
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+A practical anti-cycling procedure for linearly constrained optimization
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