A dynamic programming approach to solve efficient frontier. (Q703144): Difference between revisions
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| Property / DOI: 10.1007/s001860400367 / rank | |||
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| Property / author: Seyed Jafar Sadjadi / rank | |||
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| Property / author: Mir-Bahador-Qoli Aryanezhad / rank | |||
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| Property / reviewed by: Gong Guanglu / rank | |||
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| Property / author: Seyed Jafar Sadjadi / rank | |||
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| Property / author: Mir-Bahador-Qoli Aryanezhad / rank | |||
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| Property / reviewed by: Gong Guanglu / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / full work available at URL: https://doi.org/10.1007/s001860400367 / rank | |||
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| Property / OpenAlex ID: W1978060973 / rank | |||
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| Property / DOI: 10.1007/S001860400367 / rank | |||
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Latest revision as of 01:10, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A dynamic programming approach to solve efficient frontier. |
scientific article |
Statements
A dynamic programming approach to solve efficient frontier. (English)
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11 January 2005
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In this paper, an explicit solution is given for the mean-variance optimum portfolio problem with uncorrelated risk assets and one risk free asset prelude short sells.
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dynamic programming
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effective frontier
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parametric quadratic programming
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mean-variance optimum portfolio
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