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

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Property / DOI: 10.1016/j.cor.2007.05.004 / rank
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Property / full work available at URL: https://doi.org/10.1016/j.cor.2007.05.004 / rank
 
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Latest revision as of 08:23, 10 December 2024

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Efficient implementation of an active set algorithm for large-scale portfolio selection
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    Efficient implementation of an active set algorithm for large-scale portfolio selection (English)
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    23 May 2008
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    parametric quadratic programming
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    mean-variance portfolio selection
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    dense covariance matrix
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    efficient implementation
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