SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES (Q4483762): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Normalize DOI. |
||
Property / DOI | |||
Property / DOI: 10.15807/jorsj.44.251 / rank | |||
Property / DOI | |||
Property / DOI: 10.15807/JORSJ.44.251 / rank | |||
Normal rank |
Latest revision as of 08:49, 31 December 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