A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION (Q6182050)
From MaRDI portal
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 |
Statements
A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION (English)
0 references
23 January 2024
0 references
Markowitz mean-variance portfolio optimization
0 references
sparsity
0 references
asymptotic consistency
0 references
