Efficient implementation of an active set algorithm for large-scale portfolio selection (Q925841): 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/10.1016/j.cor.2007.05.004 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2085079992 / rank | |||
Normal rank | |||
Revision as of 22:43, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient implementation of an active set algorithm for large-scale portfolio selection |
scientific article |
Statements
Efficient implementation of an active set algorithm for large-scale portfolio selection (English)
0 references
23 May 2008
0 references
parametric quadratic programming
0 references
mean-variance portfolio selection
0 references
dense covariance matrix
0 references
efficient implementation
0 references
