A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION (Q6182050)
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scientific article; zbMATH DE number 7793172
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION |
scientific article; zbMATH DE number 7793172 |
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A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION (English)
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23 January 2024
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Markowitz mean-variance portfolio optimization
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sparsity
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asymptotic consistency
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